Risk and Returns of Shar??ah Compliant Stocks on the Karachi Stock Exchange: A CAPM and SCAPM Approach

Q3 Economics, Econometrics and Finance

Journal of King Abdulaziz University, Islamic Economics Pub Date : 2016-07-01 DOI:10.4197/ISLEC.29-2.3

Muhammad Hanif, Abdullah Iqbal, Z. Shah

引用次数: 0

Abstract

This study documents the asset pricing mechanism of Shar??ah compliant securities listed on the the Karachi Stock Exchange. We select the CAPM market model to test for the impact in variations of stock returns on a sample of Shar??ah-compliant companies on ten years monthly data (2001-10). We first test the basic CAPM (Capital Asset Pricing Model) and its modified form known as the Shar??ah-compliant asset pricing model (SCAPM). We also analyse return differences due to size (market capitalization), book to market (B/M) value, price-earning ratio (PER), and cash-flow yield (CFY). Our results find a strong impact of the market index on stock returns (adj-R2 70%) and confirm the anomalies of size, B/M, CFY, and PER, while SCAPM is slightly better in explaining variations in cross-sectional stock returns.

查看原文本刊更多论文

股票的风险与收益?卡拉奇证券交易所的合规股票:CAPM和SCAPM方法

本文研究了股票的资产定价机制。在卡拉奇证券交易所上市的合规证券。我们选择CAPM市场模型来检验股票收益变化对股票市场的影响。符合ah标准的公司的10年月度数据(2001-10)。我们首先测试了基本的CAPM(资本资产定价模型)及其被称为Shar??符合ah的资产定价模型(SCAPM)。我们还分析了由于规模(市值)，账面市值(B/M)价值，市盈率(PER)和现金流收益率(CFY)而产生的回报差异。我们的研究结果发现市场指数对股票收益有很强的影响(j- r2为70%)，并证实了规模、B/M、CFY和PER的异常，而SCAPM在解释横截面股票收益的变化方面稍好一些。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of King Abdulaziz University, Islamic Economics Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.60

自引率

0.00%

发文量

期刊介绍： The aims and scope of the journal include: -To develop the emerging paradigm of Islamic economics on scientific lines through publishing original works in this field that pass its peer review process. -To promote dialogue and discussion on current issues in the fields of Islamic economics and finance among the international community of scholars. -To encourage empirical research on Islamic finance, takaful, zakah, awqaf and other Islamic institutions including case studies from Muslim economies. -Contemporary global economic issues viewed from an Islamic perspective. To publish book reviews of important works published in the field, including books in conventional economics, business and finance having some connection with Islamic economics and/or finance.