Does the Shariah screening process matter? Evidence from Shariah compliant portfolios
| Autor: | Dawood Ashraf, Mohsin Khawaja |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Organizational Behavior and Human Resource Management
Economics and Econometrics 050208 finance Actuarial science Process (engineering) 05 social sciences A little better Market timing Skills management Portfolio construction Consistency (database systems) Performance comparison Benchmark (surveying) 0502 economics and business Economics 050207 economics |
| Zdroj: | Journal of Economic Behavior & Organization. 132:77-92 |
| ISSN: | 0167-2681 |
| DOI: | 10.1016/j.jebo.2016.10.003 |
| Popis: | This study compares the performance of market-weighted Shariah-compliant portfolios (SCPs) with conventional benchmark portfolios (CBPs) from the USA, Canada, Europe, the GCC, and Japan. Portfolios are constructed from constituent-level monthly price data using the Shariah screening criteria as proposed by MSCI, FTSE, Dow Jones, S&P and AAOIFI. The unique SCP construction approach used in this study removes any concerns of performance deviation due to the portfolio construction methodology, rebalancing timing, and management skills for security selection or market timing. Empirical results indicate that SCPs are generally less risky than CBPs. We also find that Shariah screening standards are insignificant in their effect on return performance. SCPs using the BVTA approach usually report a little better nominal and risk-adjusted returns than SCPs using the MVE approach for financial screening. The negligible difference in risk-adjusted performance and rebalancing based on different criteria indicate a need for greater consistency in applying Shariah screening standards. |
| Databáze: | OpenAIRE |
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