Sharīʿah合规指数的成分再平衡成本:未来危机的教训

IF 2.8 Q2 BUSINESS, FINANCE ISRA International Journal of Islamic Finance Pub Date : 2022-07-01 DOI:10.1108/ijif-02-2021-0038
Ahmed Badreldin
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引用次数: 0

摘要

目的本研究旨在从经济和统计两方面量化重新平衡符合《沙尔律法》的指标的成本。设计/方法/方法采用经验方法,在不同的再平衡滞后情况下,多次计算重新平衡的符合shari - tah的指数,并确定库存数量及其随时间的成本,以确定最佳的再平衡频率。本文发现,尽管从第三年开始,每年进行一次shari - hah再平衡确实会在累积财富方面带来一些优势,并带来更好的以夏普比率衡量的风险-回报特征,但并不会导致投资组合回报的显著差异。然而,这些优势涉及到投资组合市值的30%到60%之间的平均年转移,这在任何交易成本水平下都是昂贵的。实际意义私人投资者最好持有一个固定的投资组合,每三年才重新平衡一次,因为这被证明具有相似的投资组合回报和累积财富结果。就风险收益特征而言,年度再平衡的任何优势都可能被再平衡的交易成本所抵消。shari - - - - - - - -学者和实践者将考虑到再平衡的成本相对于-à-vis累积财富的优势和投资组合的风险-收益特征,确定何时才是真正正确的再平衡时间。原创性/价值在2019冠状病毒病(COVID-19)大流行等金融危机期间,伊斯兰指数将表现良好的预测忽略了频繁再平衡的成本。本文借鉴2008年金融危机的经验,以实证的方式解决了这一问题。
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The cost of constituent-rebalancing of Sharīʿah-compliant indexes: lessons for future crises
PurposeThis study aims to quantify the cost of rebalancing Sharīʿah-compliant indexes, both economically and statistically.Design/methodology/approachAn empirical approach is employed where the rebalanced Sharīʿah-compliant index is calculated numerous times with different lags in rebalancing, and the number of stocks and their cost across time are determined in order to identify the optimal rebalancing frequency.FindingsThis paper finds that annual Sharīʿah rebalancing does not lead to significant differences in portfolio returns, even though it does bring some advantages in cumulative wealth starting from the third year onwards and brings about better risk-return ˗characteristics measured in terms of the Sharpe ratio. However, these advantages involve an average annual shifting between 30 and 60% of the portfolio market capitalization, which would be costly at any level of transaction costs.Practical implicationsA private investor may be better off holding a constant portfolio and only rebalancing in three-year intervals since this was shown to possess similar portfolio returns and cumulative wealth results. Any advantages of annual rebalancing in terms of risk-return characteristics may be offset by transaction costs of rebalancing. Sharīʿah scholars and practitioners are to determine when the correct time for rebalancing really is, taking into consideration the cost of rebalancing vis-à-vis the advantages in cumulative wealth and risk-return characteristics of the portfolio.Originality/valuePredictions that Islamic indexes will perform well during financial crises, such as the COVID-19 pandemic, miss the cost of frequent rebalancing. This paper addresses this issue in an empirical manner learning from the previous crisis in 2008.
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来源期刊
CiteScore
3.40
自引率
17.40%
发文量
18
审稿时长
20 weeks
期刊介绍: It is the aspiration of the editorial committee that IJIF achieves the highest rank in quality and substance. It is thus our aim that the journal be carried in the Thompson Reuters’ ISI and Scopus databases. By ensuring high standards in articles published in Islamic finance we ensure that further innovation and research is carried out and promoted in the Islamic finance industry and academia. IJIF publishes 2 issues per annum.
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