The non-existence of commercially available Islamic Equity Style Indices from index providers such as MSCI especially on small value and small growth stocks motivates us to construct our new indices. Firstly, various index construction methods are compared. Secondly, this paper describes in...

This paper uses linear and nonlinear Granger causality tests to study the lead-lag relationship between FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBM KLCI) and Kuala Lumpur Composite Index Futures (FKLI). We apply a new nonparametric test for Granger causality test by Diks and Panchenko...

The knowledge of equity style of PRS funds has benefited investors by mitigating the issue of asymmetric information between fund managers and investors. Using a return-based style analysis with PRS fund data from April 2013 to February 2015, our study found that: first, moderate funds have the...