Comparison Of Downside Beta In Shariah-Compliant And Conventional Stocks In Malaysia
Generally, business risks are categorized as either systematic risks or unsystematic risks. Systematic risks or beta are considered as risks that have a general impact on all securities while unsystematic risk is an intrinsic, security specific risk. The study critically studied the characteristics...
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my-usim-ddms-123852024-05-29T18:28:51Z Comparison Of Downside Beta In Shariah-Compliant And Conventional Stocks In Malaysia Assan Jeng Generally, business risks are categorized as either systematic risks or unsystematic risks. Systematic risks or beta are considered as risks that have a general impact on all securities while unsystematic risk is an intrinsic, security specific risk. The study critically studied the characteristics of downside beta for listed companies in Malaysia. The process involves a random selection of 50 Shariah-compliant and 50 conventional stock returns, analysed from January 2015 to January 2020. Firstly, the study tabled the stock returns of the market benchmark, Financial Times Stock Exchange Bursa Malaysia Kuala Lumpur Composite Index (FBM KLCI) and both Shariah-compliant and conventional stocks portfolios. The downside beta is then computed using three methods: Historical Volatility (HV), Exponentially Weighted Moving Average (EWMA) and GARCH (1,1). While analysis of the Shariah-compliant and conventional portfolio as an index can indicate statistically significant difference in their downside beta values, the randomly selected 50 portfolio stocks in this research indicated no statistically significant difference between the two. Furthermore, the Sortino ration is used to determine the beta to return performance between the two portfolios. The Sortino ratio results indicates Shariah-compliant businesses outperforms their conventional counterparts. As such, there is higher appeal for investors to adopt an Islamic business framework, provided due diligence in anchored on downside beta an d reward analysis. Universiti Sains Islam Malaysia 2021-02 Thesis en https://oarep.usim.edu.my/handle/123456789/12385 https://oarep.usim.edu.my/bitstreams/5b58769a-da0d-4ead-ba3d-5d8615de019b/download 8a4605be74aa9ea9d79846c1fba20a33 https://oarep.usim.edu.my/bitstreams/a6832108-4b16-4223-ae2c-7cf80ccc8c5d/download 9ebf48f094988bf07f89c5ffae8c9b2a https://oarep.usim.edu.my/bitstreams/5d6d0b3b-b319-4686-8386-fdc67f0734d6/download 236c365eb2dd5113708ecc2f3bc81656 https://oarep.usim.edu.my/bitstreams/293797e3-bf9f-4b11-83e1-eb714199133d/download 7c466d36741c50fc493ad1bf5510d0e0 https://oarep.usim.edu.my/bitstreams/4c585dbe-366f-4148-8b65-9b83e0973b98/download e6ee8840a64365e3655cfc9e1c476363 https://oarep.usim.edu.my/bitstreams/d328893b-11b3-49ef-893c-2eb2e150ddba/download e7f4a5c961788abfcdda9e585f5f3a9f https://oarep.usim.edu.my/bitstreams/906db8d5-346b-40cb-8490-f44acf08dd0a/download 8b291211eedae5551b199147f033ee96 https://oarep.usim.edu.my/bitstreams/0a012d79-752d-439c-8791-04c29eb6b7e0/download 1eee080224020489ae4f49924179ed2f https://oarep.usim.edu.my/bitstreams/edc103d4-15a0-49b2-9521-5eeae8a59a6d/download e79d40e2f8884ed4d52722f0506e56b9 https://oarep.usim.edu.my/bitstreams/8eb1544d-505c-4c84-9f9f-2dbf70c39586/download 69951e160a7633284c3d166dce68e4ef https://oarep.usim.edu.my/bitstreams/d66de8e2-3a45-4e77-b361-f01de88b1175/download 84b667e1cd1fb02915a27132e6869fd3 https://oarep.usim.edu.my/bitstreams/b5a9915b-92d7-4d93-b71a-cc2923fad2cb/download 675d67f82dba4405f5ba6c905863620e https://oarep.usim.edu.my/bitstreams/e8247d46-1b08-48d5-8817-a8e57a16b58b/download 8935a11bb82150c504bbaa64dc28ba98 https://oarep.usim.edu.my/bitstreams/d32f071c-c17d-4c02-8cf6-d3ead30d60ed/download 896fa08de39002754938196b547d2948 https://oarep.usim.edu.my/bitstreams/4a1b0366-5fae-4fb2-b935-518d007711e3/download 94b81641918719e1f61c3c2e719218a5 https://oarep.usim.edu.my/bitstreams/f7b6420c-fb53-48de-bf89-68d03296d7af/download 4a0b0728967dd0a78154bc6a6dfbc2a3 https://oarep.usim.edu.my/bitstreams/8e8509b0-1b31-4d9f-a012-31df31025aea/download 5d4167aa0d14e4c839ef93eab51267a9 https://oarep.usim.edu.my/bitstreams/f95b616e-b77d-49b9-be79-31d3e747b6dc/download 42c7ccfbffe637a41771eaa089645df0 https://oarep.usim.edu.my/bitstreams/6c0c9b5a-7814-4367-9235-3ec5af26e8de/download 9c0edbddfd0f72ecfaa73d5c8347c877 Downside beta, Shariah-Compliant stocks, Conventional Stocks, Systematic risk |
| institution |
Universiti Sains Islam Malaysia |
| collection |
USIM Institutional Repository |
| language |
English |
| topic |
Downside beta Shariah-Compliant stocks Conventional Stocks Systematic risk |
| spellingShingle |
Downside beta Shariah-Compliant stocks Conventional Stocks Systematic risk Assan Jeng Comparison Of Downside Beta In Shariah-Compliant And Conventional Stocks In Malaysia |
| description |
Generally, business risks are categorized as either systematic risks or unsystematic risks. Systematic risks or beta are considered as risks that have a general impact on all securities while unsystematic risk is an intrinsic, security specific risk. The study critically studied the characteristics of downside beta for listed companies in Malaysia. The process involves a random selection of 50 Shariah-compliant and 50 conventional stock returns, analysed from January 2015 to January 2020. Firstly, the study tabled the stock returns of the market benchmark, Financial Times Stock Exchange Bursa Malaysia Kuala Lumpur Composite Index (FBM KLCI) and both Shariah-compliant and conventional stocks portfolios. The downside beta is then computed using three methods: Historical Volatility (HV), Exponentially Weighted Moving Average (EWMA) and GARCH (1,1). While analysis of the Shariah-compliant and conventional portfolio as an index can indicate statistically significant difference in their downside beta values, the randomly selected 50 portfolio stocks in this research indicated no statistically significant difference between the two. Furthermore, the Sortino ration is used to determine the beta to return performance between the two portfolios. The Sortino ratio results indicates Shariah-compliant businesses outperforms their conventional counterparts. As such, there is higher appeal for investors to adopt an Islamic business framework, provided due diligence in anchored on downside beta an d reward analysis. |
| format |
Thesis |
| author |
Assan Jeng |
| author_facet |
Assan Jeng |
| author_sort |
Assan Jeng |
| title |
Comparison Of Downside Beta In Shariah-Compliant And Conventional Stocks In Malaysia |
| title_short |
Comparison Of Downside Beta In Shariah-Compliant And Conventional Stocks In Malaysia |
| title_full |
Comparison Of Downside Beta In Shariah-Compliant And Conventional Stocks In Malaysia |
| title_fullStr |
Comparison Of Downside Beta In Shariah-Compliant And Conventional Stocks In Malaysia |
| title_full_unstemmed |
Comparison Of Downside Beta In Shariah-Compliant And Conventional Stocks In Malaysia |
| title_sort |
comparison of downside beta in shariah-compliant and conventional stocks in malaysia |
| granting_institution |
Universiti Sains Islam Malaysia |
| url |
https://oarep.usim.edu.my/bitstreams/a6832108-4b16-4223-ae2c-7cf80ccc8c5d/download https://oarep.usim.edu.my/bitstreams/5d6d0b3b-b319-4686-8386-fdc67f0734d6/download https://oarep.usim.edu.my/bitstreams/293797e3-bf9f-4b11-83e1-eb714199133d/download https://oarep.usim.edu.my/bitstreams/4c585dbe-366f-4148-8b65-9b83e0973b98/download https://oarep.usim.edu.my/bitstreams/d328893b-11b3-49ef-893c-2eb2e150ddba/download https://oarep.usim.edu.my/bitstreams/906db8d5-346b-40cb-8490-f44acf08dd0a/download https://oarep.usim.edu.my/bitstreams/0a012d79-752d-439c-8791-04c29eb6b7e0/download https://oarep.usim.edu.my/bitstreams/edc103d4-15a0-49b2-9521-5eeae8a59a6d/download https://oarep.usim.edu.my/bitstreams/8eb1544d-505c-4c84-9f9f-2dbf70c39586/download |
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