nep-isf New Economics Papers
on Islamic Finance
Issue of 2019‒05‒06
three papers chosen by

  1. Islamic equity as an alternative investment from the perspective of the Southeast Asian investors: evidence from MGARCH-DCC and Wavelet Coherence By Suwanhirunkul, Suwijak; Masih, Mansur
  2. Effect of dividend policy on stock price volatility in the Dow Jones U.S. index and the Dow Jones islamic U.S. index: evidences from GMM and quantile regression By Suwanhirunkul, Prachaya; Masih, Mansur
  3. La microfinance dans la région MENA entre performance financière et performance sociale : étude de cas de 18 IMF By Tlili, Afef

  1. By: Suwanhirunkul, Suwijak; Masih, Mansur
    Abstract: International diversification of equity is important for investors who want to reduce risk of capital loss. However, international diversification benefit is inconclusive. This research is the initial attempt to find international diversification benefit of global Islamic equity (in the World, US, EU and Asia Pacific region) from the perspective of the conventional Southeast Asian investors. We use relatively advanced and robust techniques MGARCH-DCC and Wavelet coherence. We find that, for the Southeast Asia as a whole region, very-short-term investors have obvious diversification benefit in Islamic equities in World, Europe and US regions but not in Asia Pacific region. Short-term and Medium-term investors face limited diversification benefit, while long-term investors have benefit in Islamic Europe and US equity. Each Southeast Asian country has varying benefit at different investment horizons. The result of this study provides suggestion for the investors who have different investment horizons to effectively diversify their conventional stocks with Islamic equity.
    Keywords: portfolio diversification, Islamic equity, MGARCH-DCC, Wavelet coherence, Southeast Asia
    JEL: C22 C58 G11 G15
    Date: 2018–12–26
  2. By: Suwanhirunkul, Prachaya; Masih, Mansur
    Abstract: The relationship between stock price volatility and dividend policy remains a “puzzle” with conflicting evidences. The objective of this study is to attempt to shed light on this debate with the help of relatively advanced GMM methods and quantile regressions on the stocks listed in the Dow Jones U.S. Index and Islamic stocks based on the Dow Jones Islamic U.S. Index. Our data is unbalanced panel data consisting of two samples for all stocks (2456 companies) and Islamic stocks (589 companies) in the Dow Jones U.S. Index from the year 2005 to 2017. Our main findings suggest that dividend policy in both samples contributes a minor component to explaining stock price volatility and is becoming less relevant for the overall market. However, dividend yield shows positive relationship with stock price volatility when analyzed based on each class of stocks in the Dow Jones Islamic U.S. Index. Thus there could be a clientele effect in each class of stock for Islamic stocks. It is hoped that the findings of this study would contribute to dividend policy literature and Islamic equity literature.
    Keywords: Dividend policy, stock price volatility, Islamic U.S. index, GMM, Quantiles
    JEL: C22 C58 G32
    Date: 2018–12–24
  3. By: Tlili, Afef
    Abstract: This paper is about analyzing the performance of MFIs. Our study focuses on Arab MFIs in the MENA region. We chose 18 MFIs from 7 Arab countries in the MENA region namely : Tunisia ; Morocco ; Egypt ; Palestine ; Jordan ; Lebanon and Yemen. Our goal is to answer the following questions : Are Arab MFIs in the MENA region performing well ? What is the orientation of these institutions ? To answer these questions we followed a methodology that brings together two parties. The first step involves using the DEA method to evaluate the performance of the MFIs in our sample. The second step is to apply the PCA (principal component analysis) on the efficiency scores obtained from the DEA method, in order to determine the orientation of each entity examined.
    Keywords: microfinance, financial performance, social performance.
    JEL: G21 P27 P31
    Date: 2019–04–30

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