Efficiency of Bursa Malaysia : analyzing islamic indices and their counterparties
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/21720 |
Resumo: | Although Islamic capital markets are considered an emerging market, the improvement is significantly high which requires permanent study. In this empirical study, we go through the Malaysian index using the daily data of the FTSE Bursa Malaysia composite index (FBMKLCI) and two Shariah indices FTSE Bursa Malaysia (EMAS Shariah and HIJRA Shariah). First we analyse the efficient market hypothesis in the weak form using variance ratio and unit root test. Our results show that both markets (Shariah and conventional) are (in)efficient and the investors are able to gain an abnormal return using historical data. Furthermore, we test the co-integration between the three indices for diversification opportunity. Results shows a new evidence that the market has no co-integration and there is a diversification opportunity on both short and long term. Therefore, prediction of an index based on the other is not possible. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Efficiency of Bursa Malaysia : analyzing islamic indices and their counterpartiesIslamic financeEfficiencyDiversificationBursa MalaysiaDomínio/Área Científica::Ciências Sociais::Economia e GestãoAlthough Islamic capital markets are considered an emerging market, the improvement is significantly high which requires permanent study. In this empirical study, we go through the Malaysian index using the daily data of the FTSE Bursa Malaysia composite index (FBMKLCI) and two Shariah indices FTSE Bursa Malaysia (EMAS Shariah and HIJRA Shariah). First we analyse the efficient market hypothesis in the weak form using variance ratio and unit root test. Our results show that both markets (Shariah and conventional) are (in)efficient and the investors are able to gain an abnormal return using historical data. Furthermore, we test the co-integration between the three indices for diversification opportunity. Results shows a new evidence that the market has no co-integration and there is a diversification opportunity on both short and long term. Therefore, prediction of an index based on the other is not possible.Alves, Paulo Alexandre PimentaVeritati - Repositório Institucional da Universidade Católica PortuguesaKabbani, Abdul Latif2017-03-10T15:05:28Z2016-07-2220162016-07-22T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/21720TID:201463962enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:27:51Zoai:repositorio.ucp.pt:10400.14/21720Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:18:04.285795Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Efficiency of Bursa Malaysia : analyzing islamic indices and their counterparties |
title |
Efficiency of Bursa Malaysia : analyzing islamic indices and their counterparties |
spellingShingle |
Efficiency of Bursa Malaysia : analyzing islamic indices and their counterparties Kabbani, Abdul Latif Islamic finance Efficiency Diversification Bursa Malaysia Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Efficiency of Bursa Malaysia : analyzing islamic indices and their counterparties |
title_full |
Efficiency of Bursa Malaysia : analyzing islamic indices and their counterparties |
title_fullStr |
Efficiency of Bursa Malaysia : analyzing islamic indices and their counterparties |
title_full_unstemmed |
Efficiency of Bursa Malaysia : analyzing islamic indices and their counterparties |
title_sort |
Efficiency of Bursa Malaysia : analyzing islamic indices and their counterparties |
author |
Kabbani, Abdul Latif |
author_facet |
Kabbani, Abdul Latif |
author_role |
author |
dc.contributor.none.fl_str_mv |
Alves, Paulo Alexandre Pimenta Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Kabbani, Abdul Latif |
dc.subject.por.fl_str_mv |
Islamic finance Efficiency Diversification Bursa Malaysia Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Islamic finance Efficiency Diversification Bursa Malaysia Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Although Islamic capital markets are considered an emerging market, the improvement is significantly high which requires permanent study. In this empirical study, we go through the Malaysian index using the daily data of the FTSE Bursa Malaysia composite index (FBMKLCI) and two Shariah indices FTSE Bursa Malaysia (EMAS Shariah and HIJRA Shariah). First we analyse the efficient market hypothesis in the weak form using variance ratio and unit root test. Our results show that both markets (Shariah and conventional) are (in)efficient and the investors are able to gain an abnormal return using historical data. Furthermore, we test the co-integration between the three indices for diversification opportunity. Results shows a new evidence that the market has no co-integration and there is a diversification opportunity on both short and long term. Therefore, prediction of an index based on the other is not possible. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-07-22 2016 2016-07-22T00:00:00Z 2017-03-10T15:05:28Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/21720 TID:201463962 |
url |
http://hdl.handle.net/10400.14/21720 |
identifier_str_mv |
TID:201463962 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131869562798080 |