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Leverage, return, volatility and contagion: Evidence from the portfolio framework
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
When regulating the financial system, the volatility phenomenon seems to emerge, practically, as a phenomenon which is intrinsic to the capital market behaviour. Theoretically, the leverage of the firms appears to be a major determinant of the volatility of prices and returns. At the same time,...
Persistent link: https://www.econbiz.de/10011110266
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Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
This study is the first attempt to investigate the relationship between firm’s leverage and systematic risk for seven European countries in relation to Shari’ah (Islamic) stock screening. This paper also aims to examine the shock transmission through the systematic risk and whether less debt...
Persistent link: https://www.econbiz.de/10011109107
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Leverage versus volatility: Evidence from the Capital Structure of European Firms
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
the sovereign debt and country dynamics. Although the latter may be beyond the firm‘s control, it is up to the firm to …
Persistent link: https://www.econbiz.de/10011110302
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Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis
Saiti, Buerhan; Bacha, Obiyathulla; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
A major issue facing the investors in the financial markets of the contemporary world is to identify whether the observed stock market fluctuations are due mainly to contagion or fundamentals. This is due to the fact that if the fluctuations are mainly due to a contagion, then it is something...
Persistent link: https://www.econbiz.de/10011111090
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How do Macroeconomic Changes Impact Islamic and Conventional Equity Prices? Evidence from Developed and Emerging Countries
Dewandaru, Ginanjar; Rizvi, Syed Aun; Sarkar, Kabir; … - Volkswirtschaftliche Fakultät, … - 2014
In theory, the price of equity is determined by the dividend yields and growth potentials of the firms. There exists established empirical proof of the impact of macroeconomic changes to the equity markets. With the advent of Islamic equities, and the recent surge of interest in them have raised...
Persistent link: https://www.econbiz.de/10011113581
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Stock Market Co-movement and Shock Transmission: Islamic versus Conventional Equity Indices
Dewandaru, Ginanjar; Alaoui, AbdelKader; Bacha, Obiyathulla - Volkswirtschaftliche Fakultät, … - 2014
Our study measures co-movements in Islamic and conventional equity markets, to discover contagion and to measure integration level. We apply wavelet decomposition to unveil the multi-horizon nature of co-movement. We find that the subprime crisis generates fundamental-based contagion for both...
Persistent link: https://www.econbiz.de/10011113785
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Does a held-to-maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? A multi-scale continuous wavelet correlation analysis
Najeeb, Syed Faiq; Bacha, Obiyathulla; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
The Islamic bonds or sukuk market is one of the fastest growing segments of the nearly US$2trillion global Islamic finance industry. However, lack of trading in secondary sukuk markets is a peculiar feature in this sector and both institutional and retail sukuk investors are known to adopt a...
Persistent link: https://www.econbiz.de/10011112062
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Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model
Dewandaru, Ginanjar; Masih, Rumi; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
information coefficients, we find the six-month momentum and the fractal measure as momentum factors; the enterprise yield (gross …, and Bayesian Model Averaging. The out-of-sample performance of our portfolios can produce information ratios of 0.7 – 0 ….8 over the composite indices, and information ratios of 0.42 – 0.48 over the style indices, with the annualized alphas of 10 …
Persistent link: https://www.econbiz.de/10011113544