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Test of arbitrage pricing theory on the Tehran stock exchange: the case of a Shariah-compliant close economy

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dc.contributor.authorPooya Sabetfar
dc.contributor.authorCheng Fan Fah
dc.contributor.authorBany Ariffin Amin Noordin
dc.contributor.authorShamsher Mohamad Ramadili Mohd
dc.date.accessioned2016-07-25T20:05:51Z
dc.date.available2016-07-25T20:05:51Z
dc.date.issued2011
dc.description.abstractThis paper provides weak evidence in support for the application of Arbitrage Pricing Theory (APT) on the Iranian stock market in the Sharia is the sacred law of Islam faith.) based close economy. Tests conducted using the principal component analysis and canonical correlation model showed that at least one to three factors that can explain the cross-section of expected returns in this market. Financial and economical sanctions possibly explain the negative stock market returns which reflect the reaction of investors to the announcement of sanctions. Overall, the results suggest that there are four groups of macroeconomic variables in the test period that affect stock returns for the test period, 1991 to 2008, but the significance of these factors is not consistent over time. In general the findings document a weak applicability of APT in this market.
dc.identifier.citationSabetfar, P., Cheng, F. F., Ramadili Mohd, S. M., & Amin Noordin, B. A. (2011). Test of arbitrage pricing theory on the Tehran stock exchange: the case of a Shariah-compliant close economy. International Journal of Economics and Finance, 3(3), 109-118. https://doi.org/10.5539/ijef.v3n3p109
dc.identifier.doihttps://doi.org/10.5539/ijef.v3n3p109
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/1455
dc.languageEnglish
dc.language.isoeng
dc.publisherCanadian Center of Science and Education
dc.rights2011. Canadian Center of Science and Education
dc.sourceCRP
dc.subjectFull Sharia economy
dc.subjectSanction
dc.subjectCanonical correlation
dc.subjectArbitrage pricing theory
dc.titleTest of arbitrage pricing theory on the Tehran stock exchange: the case of a Shariah-compliant close economy
dc.typeJournal Article
dlc.maintopicIslamic capital markets
dlc.subtopicIslamic capital markets
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital markets
ikr.topic.subtopicIslamic capital markets
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relation.isAuthorOfPublication33b91dde-0170-454c-8f2b-ec4b208837b9
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relation.isAuthorOfPublication.latestForDiscovery33b91dde-0170-454c-8f2b-ec4b208837b9
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