{"title":"The Relation between Return and Volatility in ETFs Traded in Borsa Istanbul: Is There Any Difference between Islamic and Conventional ETFs?","authors":"M. Hassan, Selim Kayhana, Tayfur Bayatb","doi":"10.2139/ssrn.3263385","DOIUrl":"https://doi.org/10.2139/ssrn.3263385","url":null,"abstract":"In this study, we aim to analyze the relation between return and volatility in different types of exchange-traded funds (ETFs) traded in the Borsa Istanbul. The types we examine are Islamic stock index, conventional stock index, bond, commodity, and U.S. dollar ETFs. We employ the following battery of causality analysis methods that have different statistical advantages to each other: Toda-Yamamoto (1995); bootstrap based Hatemi-J (2005); volatility spillover, which allows investigating causality in variance; frequency domain, which decomposes causality due to different time frequencies; and asymmetric causality, developed by Hatemi-J, which enables finding causation linkages for different types of shocks in each variable. Although the results obtained from our analyses show that a negative relationship between return and volatility is valid for most ETF types, an asymmetric relation running from negative return shocks to positive volatility shocks is valid for only some conventional stock ETFs and U.S. dollar ETFs. On the other hand, Islamic ETFs and commodity ETFs have an asymmetric relation running from positive return shocks to negative volatility shocks. Our results show that the hypotheses investigated in this study vary with the ETF type included in the model.","PeriodicalId":373040,"journal":{"name":"Islamic Economic Studies (IES)","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115112760","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"An Economic Theory of Islamic Finance Regulation","authors":"M. Al-Jarhi","doi":"10.12816/0033333","DOIUrl":"https://doi.org/10.12816/0033333","url":null,"abstract":"We argue that regulation can improve the performance of conventional banks up to a limit, but cannot eliminate the deficiencies resulting from the use of the conventional loan contract. Islamic finance requires complicated and costly procedures compared to conventional finance. Yet, it has significant macroeconomic benefits, which cannot be internalized by individual banks. Therefore, Islamic bankers tend to mimic conventional finance in order to cut costs and maximize short-term profits. Regulation can modify bankers’ incentives in order to capture the benefits of Islamic finance. Based on Al-Jarhi’s macroeconomic model (1983), we construct an economic theory of Islamic banking regulation. Results point out to the potential of designing regulations that discourage mimicking conventional finance in order to benefit from the Islamic finance advantages.","PeriodicalId":373040,"journal":{"name":"Islamic Economic Studies (IES)","volume":"1157 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120876134","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"An Empirical Study of Islamic Equity as a Better Alternative During Crisis Using Multivariate GARCH DCC","authors":"Syed Aun R. Rizvi, S. Arshad","doi":"10.12816/0004134","DOIUrl":"https://doi.org/10.12816/0004134","url":null,"abstract":"Risk Sharing is the core of the Islamic finance, the closest modern equivalent being equity investments. Through the decades of Islamic Finance development scholars have stressed on equity as the most beneficial financial mechanism while most accept modern joint-stock companies as quasi Mush rakah and Mu rabah forms, but this segment is still small in Islamic finance. Multitude of reasons contributes to it, primarily, the risk averseness and myth of equities as more risky alternate. This paper attempts to investigate this myth utilizing MGARCH DCC method, by studying the volatilities and correlations of Islamic indices over a period of twelve years. The findings are promising, suggesting a low moving correlation between the conventional and Islamic indices. The results substantiate the authors’ argument, that during crisis, Islamic indices provide though not complete, but partial insulation, thus a safer haven. This bodes well for a hugely untapped Islamic alternate investment avenue for exploration.","PeriodicalId":373040,"journal":{"name":"Islamic Economic Studies (IES)","volume":"367 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131769233","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Economic and Financial Crises in Fifteenth-Century Egypt: Lessons from the History","authors":"A. Islahi","doi":"10.12816/0001559","DOIUrl":"https://doi.org/10.12816/0001559","url":null,"abstract":"The present paper attempts to study the economic and financial crises of 15th century Egypt, which was ruled by Mamluk dynasty. Two social thinkers of the time – al-Maqrizi at the beginning of the century and al-Asadi at the middle – addressed the situation. To the former, deterioration of Egypt’s monetary system was the single most important cause of its economic and financial difficulties. As a panacea, he prescribed a return to gold and silver standard and restricting copper coinage to petty transactions. The latter divided the factors responsible for economic and financial crises into socio-economic factor and monetary factor. He advocated for an overall reform and strict management of the whole economy. The main financial problem, in his opinion, was debasement of currency leading to unrestricted supply of money, not the issue of copper coins. The paper concludes with an appraisal of their diagnosis of the problem, the solution suggested by them and the lessons learned from them.","PeriodicalId":373040,"journal":{"name":"Islamic Economic Studies (IES)","volume":"263 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133310114","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Why is Growth of Islamic Microfinance Lower than its Conventional Counterparts in Indonesia?","authors":"Dian Masyita Telaga, Habib Ahmed","doi":"10.12816/0000239","DOIUrl":"https://doi.org/10.12816/0000239","url":null,"abstract":"The aim of this paper is to examine the demand factors for microfinance services in Indonesia consisting of the understandings, perceptions and preferences of 581 micro finance institutions (MFIs) clients of four MFIs— two Islamic (BMT and BPRS) and two conventional (BRI and BPR). The results show that MFIs clients’ preferences are driven by economic (low interest rates, low collateral and size of loan) and non-economic factors (such as quality of services variables; easiness, speed, nearness, payment method and loan officers’ profile). The results also indicate that BRI, a conventional MFI, is ranked the most competitive according to these factors, followed by BPRS (Islamic rural banks), BPR (conventional rural banks) and BMT (Baitul Maal wa Tamwil). The survey also identifies the gaps in which Islamic MFIs should fulfill in enhancing their roles to reduce unemployment and poverty.","PeriodicalId":373040,"journal":{"name":"Islamic Economic Studies (IES)","volume":"282 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115602208","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Redefining Islamic Economics as a New Economic Paradigm","authors":"Necati Aydin","doi":"10.12816/0000238","DOIUrl":"https://doi.org/10.12816/0000238","url":null,"abstract":"The more recent literature on Islamic economics is largely about Islamic financial instruments and institutions. It might give an impression as if the main difference between conventional and Islamic economics is in the instruments, rather than foundational aspect. Islamic economics is not about the prohibition of certain goods and services. It is a vastly different economic system whose answers to the core economic questions vary significantly. It is important to start from the foundation Islamic economics by redefining assumptions, developing new theories of microeconomics and macroeconomics, and offering testable models from the Islamic paradigm. This paper is an attempt to redefine Islamic economics as a new economic paradigm based on the distinctive axiomatic feature of Islamic worldview. In order to do that, the paper first presents evidences of the crises of capitalism and search for alternative paradigm. Second, it outlines the origin of capitalism within the Western secular worldview. Third, it presents the Islamic worldview from anthropological, epistemological, and teleological perspectives. Fourth, it redefines Islamic economics as alternative economic paradigm to capitalism.","PeriodicalId":373040,"journal":{"name":"Islamic Economic Studies (IES)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117224288","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes","authors":"M. Hassan, E. Girard","doi":"10.2139/ssrn.1808853","DOIUrl":"https://doi.org/10.2139/ssrn.1808853","url":null,"abstract":"This paper examines the performance of seven indexes chosen from the Dow Jones Islamic Market Index (DJIM) vis-a-vis their non-Islamic counterparts using a variety of measures such as Sharpe, Treynor, Jensen and Fama’s selectivity, net selectivity and diversification. Second, we examine the persistence of performance using Carhart’s (1997) four factor pricing models. Third, we use cointegration to examine how the Islamic indexes compare to their non-Islamic counterparts. The sample period is from January 1996 to December 2005 (120 data points). It is further broken down into two sub-periods: January 1996 to December 2000 (60 data points) and January 2001 to December 2006 (60 data points). We find no difference between Islamic and non-Islamic indexes. The Dow Jones Islamic indexes outperform their conventional counterparts from 1996 to 2000 and underperform them from 2001 to 2005. Overall, similar reward to risk and diversification benefits exist for both the Islamic and conventional indexes.","PeriodicalId":373040,"journal":{"name":"Islamic Economic Studies (IES)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114876541","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Developing a Model for Corporate Governance and Conflict of Interest Deterrence in Shari’ahbased Cooperatives","authors":"Zurina Shafii, M. Obaidullah, Rose Ruziana Samad","doi":"10.2139/ssrn.3303692","DOIUrl":"https://doi.org/10.2139/ssrn.3303692","url":null,"abstract":"Different from a conventional cooperative, a Shari’ah-based cooperative observes Shari’ah principles. As these cooperatives offers Islamic financial products and involves in Shari’ah compliant investment, they are bound to observe Shari’ah governance structure, transparency, disclosure of information and strict compliance with Shari’ah principles. Compliance with the Shari’ah principles will strengthen public confidence in the credibility of the system of the Islamic Muamalat particularly in the cooperative movement. Due to the infancy of Shari’ahbased cooperative industry that needs for proper governance measures, this paper aims to discuss corporate governance in Shari’ah-based cooperatives in the attempt to propose a model for resolving stakeholders’ conflicts of interest","PeriodicalId":373040,"journal":{"name":"Islamic Economic Studies (IES)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131237862","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}