التفاصيل البيبلوغرافية
| العنوان: |
Performance of Low Volatility Shariah Equities in Malaysia. |
| المؤلفون: |
Hussin, Siti Aida Sheikh, Saring, Normalah, Zahid, Zalina, Ramli, Noor Asiah |
| المصدر: |
AIP Conference Proceedings; 2018, Vol. 1982 Issue 1, p1-8, 8p, 6 Charts, 3 Graphs |
| مصطلحات موضوعية: |
STOCKS (Finance), MARKET volatility, FINANCIAL performance, ISLAMIC finance, INVESTORS, FINANCIAL markets |
| مستخلص: |
Underperformance of Islamic equity investment encourages investors to look for new strategies such as low-volatility investing. The most popular advantage in low-volatility stocks picking approach claimed by global players, is the ability of volatile or bear market as a tool to reduce losses. The main objective of this paper is to investigate the performance of low-volatility Shariah stocks in Malaysia by using FTSE Bursa Malaysia Emas Shariah Index as the universe. The performance is evaluated using risk adjusted ratio, Sharpe and Treynor ratio over a 10-year period from 2006 to 2016. The results show that the low-volatility shariah stocks in Malaysia outperformed the conventional stock market in medium and long-term period. However the low-volatility Shariah stocks underperformed the FBM Emas Shariah Index for all period of study. The analysis also suggest that in long-term period, Sharpe Ratio of low-volatility equity has a significant lower unsystematic risk. The Sharp Ratio for long-term period is the highest among the quintile portfolio. Sharpe Ratio of 0.01 indicates that the low-volatility has earned an excess return over the risk free rate 0.01 the level of risk that it adds. However, short-term and medium-term show negative Sharpe Ratio for all quintile portfolio indicate that these portfolios earn a negative excess return over the risk free rate of every 1% of risk that it adds. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
Complementary Index |
