Publication:

A comparative analysis of systematic risk and portfolio optimization differences between Shariah-compliant and conventional Canadian stocks

Show simple item record
DC FieldValue
dc.contributor.authorMme Oualae Firano
dc.contributor.authorAbdelKader Ouatik El Alaoui
dc.contributor.authorAmina Dchieche
dc.contributor.authorObiyathulla Ismath Bacha
dc.date.accessioned2026-10-01T04:01:58Z
dc.date.available2026-10-01T04:01:58Z
dc.date.issued2026
dc.description.abstractThis study aims to examine the effect of firm leverage on systematic risk between conventional and Shariah-compliant firms listed on the Canadian stock exchanges. Covering the period from 2017 to 2022, the research aims to assess the implications of Shariah-compliant strategies for portfolio performance over periods of normal and high volatility during Covid-19. With a sample of 412 firms, the study uses dynamic panel generalized method of moments estimation and the mean-variance efficient frontier framework to evaluate the risk�return profile of Shariah-compliant firms. These methodologies enable a robust analysis of systematic risk and reward-to-risk ratio, offering insights into the performance of Shariah-compliant portfolios under time-varying leverage conditions. The results reveal that Shariah-compliant portfolios generally exhibit lower systematic risk compared to their conventional counterparts because of their low-debt ratio. Additionally, these firms demonstrate a superior reward-to-risk ratio and a more favorable risk�return profile, especially during periods of economic instability. The findings highlight the effectiveness of Shariah-compliant portfolios in optimizing portfolio performance and managing risk. This study contributes to the literature by emphasizing the distinctive risk management characteristics of Shariah-compliant firms and their potential to enhance portfolio diversification. The findings underscore the value of Shariah-compliant investment strategies for investors seeking to mitigate risk and improve risk-adjusted returns, particularly in volatile economic environments.en_US
dc.identifier.citationFirano, M. O., El Alaoui, A. O., Dchieche, A., & Bacha, O. I. (2026). A comparative analysis of systematic risk and portfolio optimization differences between Shariah-compliant and conventional Canadian stocks. International Journal of Islamic and Middle Eastern Finance and Management. https://doi.org/10.1108/imefm-06-2025-0450en_US
dc.identifier.doihttps://doi.org/10.1108/IMEFM-06-2025-0450
dc.identifier.issn1753-8408 (e-issn)
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/4348
dc.languageEnglish
dc.language.isoengen_US
dc.publisherEmerald Publishing Limiteden_US
dc.rights� Emerald Publishing Limited
dc.sourceSEDONA
dc.subjectFirm leverageen_US
dc.subjectSystematic risk and levered betaen_US
dc.subjectShariah-compliant firmsen_US
dc.subjectDynamic panel GMM and Islamic financeen_US
dc.subjectPortfolio optimization and mean-variance efficient frontieren_US
dc.subjectReward to risken_US
dc.subjectSharpe ratioen_US
dc.titleA comparative analysis of systematic risk and portfolio optimization differences between Shariah-compliant and conventional Canadian stocksen_US
dc.typeJournal Articleen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital marketsen_US
relation.isAuthorOfPublication8e8de113-9c2e-4faf-8482-04f179564a0e
relation.isAuthorOfPublication.latestForDiscovery8e8de113-9c2e-4faf-8482-04f179564a0e
Appears in Collections
Journal Article
Files

Abstract View

2718066

View & Download

219787