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Is there a diversification "cost" of Shari'ah compliance? Empirical evidence from Malaysian equities

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dc.contributor.authorNazrol Kamil Mustaffa Kamil
dc.contributor.authorAbul Mansur Mohammed Masih
dc.contributor.authorObiyathulla Ismath Bacha
dc.date.accessioned2021-04-26T07:20:49Z
dc.date.available2021-04-26T07:20:49Z
dc.date.issued2021
dc.description.abstractIslamic equity portfolios work with a smaller investment universe given the filtering of non Shari'ah compliant stocks. It has been theoretically argued that this culminates in suboptimal portfolio diversification, which in turn adversely affects risk-adjusted returns. We offer empirical evidence that such a conceived portfolio diversification "penalty" is far from a foregone conclusion, at least empirically. Our results tend to indicate that Islamic portfolios are not invariably handicapped in terms of portfolio diversification. We also explored dimensions that may account for differences in the relative investment performance between Islamic and conventional portfolios, such as portfolio constraints, short selling and market conditions. We believe this paper is among the first to apply substantial empirical analysis specifically with respect to the portfolio diversification perspective on Islamic equity investments.en_US
dc.identifier.citationMustaffa Kamil, N. K., Bacha, O. I., & Mohammed Masih, A. M. (2021). Is there a diversification "cost" of Shari'ah compliance? Empirical evidence from Malaysian equities. Economic Systems, 45(1), [100817], https://doi.org/10.1016/j.ecosys.2020.100817en_US
dc.identifier.doihttps://doi.org/10.1016/j.ecosys.2020.100817
dc.identifier.issn0939-3625
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/3367
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevier B.V.en_US
dc.rights2020. Elsevier B.V.
dc.sourceSEDONA
dc.subjectIslamic equity portfolioen_US
dc.subjectPortfolio diversificationen_US
dc.subjectIslamic mutual fundsen_US
dc.subjectAnalysis of covariance (ANCOVA)en_US
dc.subjectEfficient frontieren_US
dc.subjectMaximum sharpe ratioen_US
dc.titleIs there a diversification "cost" of Shari'ah compliance? Empirical evidence from Malaysian equitiesen_US
dc.typeJournal Articleen_US
dlc.maintopicIslamic capital marketsen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital marketsen_US
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