Examining anomalies in Islamic equity market of the emerging economies
Journal Title: Economic Annals-XXI - Year 2018, Vol 170, Issue 3
Abstract
The purpose of this study is to evaluate the performance of Islamic stock indices in the presence of Islamic calendar anomaly in the context of emerging economies. The current study has considered daily data from 1 January 2010 to 1 September 2017. Standard & Poor’s (S&P) Shariah index, which comprises funds from 22 emerging economies, is used for the study. Descriptive statistics are applied to check the behaviour of the index. The Generalised Auto Regressive Conditional Heteroscedasticity Model (GARCH) model is applied to capture the seasonality in the returns and the volatility of the Islamic equity market. It has been found out that the effect of Ramadan, the holy month of Muslims, can be both significant and insignificant depending on different years. The Islamic indices during the earlier years of their establishment were performing poorly, if compared to the market benchmarks. But during the latter years, the markets have performed well or maintained a good place, as compared to market benchmarks. The results of Jensen’s alpha show that the returns during Ramadan improve significantly. This study will help the investors to efficiently time their trading. Based on the authors’ best knowledge, this is the first paper describing an investigation on Ramadan effect on the emerging Shariah index, which has also included the Ramadan period of 2017.
Authors and Affiliations
Areeba Khan, Mosab I Tabash, Mohd Sarim, Asif Akhtar
Keywords
Related Articles
- EP ID EP534409
- DOI 10.21003/ea.V170-11
- Views 133
- Downloads 0
Modeling of an effective strategy of the process of product implementation with reference to seasonality
Introduction. It is impossible to solve actual economic problems of enterprises without building strategies and forecasting the results of their functioning. A well-established implementation process increases product de...
Human resource, financial market development and economic growth in Saudi Arabia: a role of human capital
Human Capital (HC) is considered as a key factor in determining and accelerating the economic growth in this modern age due to productivity gains. The present study explores the impact of human resources and financial ma...
A nonlinear model for evaluating the impact of internally displaced persons dynamics on the level of regional socio-economic development
The consequence of the military aggression of the Russian Federation is the loss of control over part of the territory of Donetsk and Luhansk regions in Eastern Ukraine and the annexation of the Crimean peninsula. The ev...
Enterprise management in VUCA conditions
Today’s world, which is characterised by variability, uncertainty, complexity and ambiguity (VUCA), poses a problem associated with a shift in the business administration paradigm. Therefore, the purpose of this paper is...
The agrarian food consumption in Ukraine and its association with socio-demographic indicators of human development
The objective of current research was to analyse the extent Ukrainian population was provided with the basic agrarian foods during 1990-2017 and to evaluate the relevant impact on the dynamics of human development indica...