Background:This study aims to investigate the extent to which the conditional volatilities of both Shari’ah compliant stock and conventional stock are related to those of interest rate and exchange rate in the emergi...Background:This study aims to investigate the extent to which the conditional volatilities of both Shari’ah compliant stock and conventional stock are related to those of interest rate and exchange rate in the emerging economy of Pakistan.Methods:We used KMI 30 and KSE 100 indices for Islamic and conventional stock for the period of July 2008 to November 2013.We employed Generalized Autoregressive Conditional Heteroskedastic in the mean(GARCH-M)model.This framework relaxes constancy assumption of classical linear regression(CLRM)model and allows exchange rate and interest rate volatility to evolve over time.The GARCHM framework also reveals results about risk-return trade-off in the context of both Islamic and conventional stock indices.Results:The findings show positive and statistically significant effect of interest rate volatility on KSE-100,whereas KMI-30 remains unaffected by the same.Exchange rate volatility is found to be significant for both conventional and Islamic indices.The relationship of risk coefficient(γ)and stocks returns,as expected,is positive and statistically significant for both KMI-30 and KSE-100.This result is consistent with the theory of risk-return trade-off.The results of parametric t-test show significant difference between returns of both indices.This implies that Shari’ah compliant stock index(KMI-30)of Pakistan underperforms its conventional counterpart.Conclusion:By using different performance measures(Sharp ratio,Jensen alpha,Treynor ratio),this study also investigates the hypothesis that Islamic stock index has inferior performance compared with unscreened conventional counterparts due to availability of a smaller investment universe,increased monitoring costs,and limited diversification.展开更多
Saudi land has always been considered as sacred by Muslims,since the emergence and the cradle of Islam is Mecca to which all Muslims in the globe turn in their daily obligatory prayers.Millions of Muslims from all con...Saudi land has always been considered as sacred by Muslims,since the emergence and the cradle of Islam is Mecca to which all Muslims in the globe turn in their daily obligatory prayers.Millions of Muslims from all continents go to perform their annual pilgrimage function‘haj’in this Holy Shrine.Moreover,Saudi’s legal system and practices in respect to human rights has an impressive effect on the other members of the GCC.This paper probes constitutional human rights of Saudi Arabia.展开更多
文摘Background:This study aims to investigate the extent to which the conditional volatilities of both Shari’ah compliant stock and conventional stock are related to those of interest rate and exchange rate in the emerging economy of Pakistan.Methods:We used KMI 30 and KSE 100 indices for Islamic and conventional stock for the period of July 2008 to November 2013.We employed Generalized Autoregressive Conditional Heteroskedastic in the mean(GARCH-M)model.This framework relaxes constancy assumption of classical linear regression(CLRM)model and allows exchange rate and interest rate volatility to evolve over time.The GARCHM framework also reveals results about risk-return trade-off in the context of both Islamic and conventional stock indices.Results:The findings show positive and statistically significant effect of interest rate volatility on KSE-100,whereas KMI-30 remains unaffected by the same.Exchange rate volatility is found to be significant for both conventional and Islamic indices.The relationship of risk coefficient(γ)and stocks returns,as expected,is positive and statistically significant for both KMI-30 and KSE-100.This result is consistent with the theory of risk-return trade-off.The results of parametric t-test show significant difference between returns of both indices.This implies that Shari’ah compliant stock index(KMI-30)of Pakistan underperforms its conventional counterpart.Conclusion:By using different performance measures(Sharp ratio,Jensen alpha,Treynor ratio),this study also investigates the hypothesis that Islamic stock index has inferior performance compared with unscreened conventional counterparts due to availability of a smaller investment universe,increased monitoring costs,and limited diversification.
文摘Saudi land has always been considered as sacred by Muslims,since the emergence and the cradle of Islam is Mecca to which all Muslims in the globe turn in their daily obligatory prayers.Millions of Muslims from all continents go to perform their annual pilgrimage function‘haj’in this Holy Shrine.Moreover,Saudi’s legal system and practices in respect to human rights has an impressive effect on the other members of the GCC.This paper probes constitutional human rights of Saudi Arabia.
