{"title":"Risk and Returns of Shar??ah Compliant Stocks on the Karachi Stock Exchange: A CAPM and SCAPM Approach","authors":"Muhammad Hanif, Abdullah Iqbal, Z. Shah","doi":"10.4197/ISLEC.29-2.3","DOIUrl":null,"url":null,"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.","PeriodicalId":39159,"journal":{"name":"Journal of King Abdulaziz University, Islamic Economics","volume":"41 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2016-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of King Abdulaziz University, Islamic Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4197/ISLEC.29-2.3","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
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.
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.