The Cost of Sharia Investing: Comparative Empirical Study in Indonesian Stock Market

2016 ◽  
Vol 4 (1) ◽  
pp. 33 ◽  
Author(s):  
Muhammad Rifqi
Keyword(s):  
Stock Market ◽  
Asset Allocation ◽  
Value At Risk ◽  
Historical Data ◽  
Composite Index ◽  
Portfolio Diversification ◽  
Substantial Cost ◽  
Risk Characteristics ◽  
Simulation Results ◽  
The Cost

This study attempts to investigate the financial performance of Jakarta Islamic Index (JII) in comparison with more widely known Jakarta Composite Index (JCI). Using historical data from January 2004 to May 2015, we comprehensively measure returns and risk properties of the indices using mean returns, standard deviation, Sharpe ratio, Treynor ratio, Jensen Alpha, and Value-at-Risk, and evaluate their results. We also perform portfolio simulation to assess the diversification capability of JII from strategic asset allocation perspective. Our findings indicate that despite JII outperforms JCI during pre-crisis in terms of raw and risk-adjusted returns, it underperforms JCI in all other sub-periods. Meanwhile, in terms of risk characteristics, we find that JII is a clear inferior to JCI. Thus, in overall we argue that there is a substantial cost associated with Sharia investing in Indonesian Stock Market. Nevertheless, simulation results indicate that JII could serve as a valuable portfolio diversification tool, in which it succeeds in lowering the risk of the whole portfolio.   

scholarly journals Commodities Versus Stocks: Analysis of Their Performance from 2009 Through 2015

2016 ◽  
Vol 3 (1) ◽  
pp. 8
Author(s):  
Monika Krawiec
Keyword(s):  
Composite Index ◽  
Precious Metals ◽  
Commodity Price ◽  
Portfolio Diversification ◽  
Risk Return ◽  
Thomson Reuters ◽  
Risk Characteristics ◽  
Calculation Methodology ◽  
Stock Indexes ◽  
Unanticipated Inflation

Although over the last several years one could have witnessed unprecedented interest in commodity investments, the view of commodities from an investor’s perspective is of more recent date (with the exception of precious metals). There are several reasons for investing in commodities. First of all, they let investors gain equity-like or higher returns. Then, they can help to mitigate risk and improve portfolio diversification. They can also provide a possible hedge against unanticipated inflation. The growing popularity of commodity investing has been followed by a great number of new investment vehicles that make commodity investments available to a wider audience. Thus, investors based on their risk-return criteria and individual requirements may select from a broad range of commodity-linked financial instruments. One of possibilities is investing through a commodity index. This approach is especially attractive to investors that are familiar with investing in stock indexes. In theory, commodity indexes share a similar goal: to create a broad indicator of commodity price movements, though in practice portfolio weightings, construction, and calculation methodology vary significantly from one index to another. The most important of commodity indexes are: the Thomson Reuters/Core Commodity CRB Index, the S-P Goldman Sachs Commodity Index, the Bloomberg Commodity Index (former Dow-Jones AIG Commodity Index), and the Deutsche Bank Liquid Commodity Index. The present paper is aimed at assessing return and risk characteristics of these indexes and at providing a comparative analysis of their performance in relation to the most important equity indexes, such as S-P500, FTSE100, CAC40, DAX, WIG, BUX, IBovespa, Nikkei, Shanghai Composite (SSE), TSE300 (current S-P/TSX Composite Index), and AOI (All Ords). The empirical data covers daily quotations from January 5, 2009 to December 30, 2015. To verify whether the commodity indexes returns differ significantly from the returns of equity indexes, the nonparametric Mann-Whitney test is applied. The test has been chosen as returns of commodity indexes are not normally distributed.

scholarly journals EFFECT OF GOVERNMENTAL ANNOUNCEMENT AND DECISIONS DURING COVID-19 ON INDONESIAN SECTORAL INDEXES

2021 ◽  
Vol 23 (1) ◽  
pp. 61-75
Author(s):  
Irshad Adriatama ◽  
Raden Aswin Rahadi
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Abnormal Return ◽  
Global Economy ◽  
Historical Data ◽  
Composite Index ◽  
Work From Home ◽  
The World

Global economy is suffering from a crisis due to COVID-19, during few months after the virus had begun to spread stock prices had been falling drastically all over the world. This paper aim to analyze what is happening to the stock market in Indonesia during the period of COVID-19 pandemic. The analysis will be done by looking at the historical data of several composite index from different sectors during the period of pandemic. We will take notes of important dates during this pandemic such as: first confirmed case, first death, work-from-home policy date, and other dates, to see whether these events can affect the index price during this pandemic by analyzing abnormal return on a certain period near those dates.

META-ANALYSIS ON AMERICAN PRESIDENTIAL ELECTION - 2016 AND AMERICAN STOCK MARKET

2020 ◽  
Vol 38 (1) ◽  
Author(s):  
Farhan Ahmed ◽  
Salman Bahoo ◽  
Sohail Aslam ◽  
Muhammad Asif Qureshi
Keyword(s):  
Content Analysis ◽  
Stock Market ◽  
Event Study ◽  
Presidential Election ◽  
Republican Party ◽  
Stock Exchange ◽  
Meta Analysis ◽  
Composite Index ◽  
Stock Index ◽  
Political Event

This paper aims to analyze the efficient stock market hypothesis as responsive to American Presidential Election, 2016. The meta-analysis has been done combining content analysis and event study methodology. The all major newspapers, news channels, public polls, literature and five important indices as Dow Jones Industrial Average (DJIA), NASDAQ Stock Market Composit Indexe (NASDAQ-COMP), Standard & Poor's 500 Index (SPX-500), New York Stock Exchange Composite Index (NYSE-COMP) and Other U.S Indexes-Russell 2000 (RUT-2000) are critically examined and empirically analyzed. The findings from content analysis reflect that stunned winning of Mr Trump from Republican Party worked as shock for American stock market. From event study, findings confirmed that all the major indices reflected a decline on winning of Trump and losing of Ms. Clinton from Democratic. The results are supported empirically and practically through the political event like BREXIT that resulted in shock to Global stock index and loss of $2 Trillion.

scholarly journals Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1411
Author(s):  
Xiaqing Su ◽  
Zhe Liu
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Asset Allocation ◽  
Policy Uncertainty ◽  
Volatility Spillover ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
Transmission Structure ◽  
Long Term Impact

Following generalized variance decomposition, we identify the transmission structure of financial shock among ten sectors in China. Then, we examine whether economic policy uncertainty (EPU) affects it through GARCH-MIDAS regression. We find that consumer discretionary, industrials, and materials sectors are systemically important industries during the sample period. Further research of dynamic analysis shows that each sector acts in a time-varying role in this structure. The results of the GARCH-MIDAS regression indicate that none of the selected EPU indexes has a significant long-term impact on the total volatility spillover of the inter-sector stock market in China. However, the EPUs do affect some sectors’ spillover indexes in the long run, and they are significantly heterogeneous. This paper can provide regulatory suggestions for policymakers and reasonable asset allocation and risk avoidance methods for investors.

scholarly journals Portfolio Optimization Constrained by Performance Attribution

2021 ◽  
Vol 14 (5) ◽  
pp. 201
Author(s):  
Yuan Hu ◽  
W. Brent Lindquist ◽  
Svetlozar T. Rachev
Keyword(s):  
Portfolio Optimization ◽  
Asset Allocation ◽  
Value At Risk ◽  
Risk Measures ◽  
Risk Measure ◽  
Selection Effect ◽  
Conditional Value At Risk ◽  
Positive Role ◽  
Performance Attribution ◽  
Dow Jones Industrial Average

This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two performance attributes, asset allocation (AA) and the selection effect (SE), as constraints on asset weights. The test portfolio consists of stocks from the Dow Jones Industrial Average index. Values for the performance attributes are established relative to two benchmarks, equi-weighted and price-weighted portfolios of the same stocks. Performance of the optimized portfolios is judged using comparisons of cumulative price and the risk-measures: maximum drawdown, Sharpe ratio, Sortino–Satchell ratio and Rachev ratio. The results suggest that achieving SE performance thresholds requires larger turnover values than that required for achieving comparable AA thresholds. The results also suggest a positive role in price and risk-measure performance for the imposition of constraints on AA and SE.

scholarly journals Information Asymmetry, Ownership Structure and Cost of Equity Capital: The Formation for Open Innovation

2021 ◽  
Vol 7 (1) ◽  
pp. 48
Author(s):  
Ade Imam Muslim ◽  
Doddy Setiawan
Keyword(s):  
Stock Market ◽  
Information Asymmetry ◽  
Ownership Structure ◽  
Trading Volume ◽  
Foreign Ownership ◽  
Equity Capital ◽  
Cost Of Equity Capital ◽  
Cost Of Equity ◽  
Ownership Structures ◽  
The Cost

Our study aims to investigate how information asymmetry and ownership structure affect cost of equity capital. For that purpose, we collected 246 issuers over 4 years for a total of 984 observations. By using panel data processing, we found that the information asymmetry we proxied through Price non-Synchronization and trading volume had an effect on the cost of equity capital. Our results also confirmed both Agency Theory and Pecking Order Theory. Both theories are in line with the conditions of the stock market in Indonesia. In addition, we found that institutional and foreign ownership structures also had an effect on the cost of equity capital. Furthermore, our results also confirmed Interest Alignment Theory and Entrenchment Theory. Our research is expected to contribute to the debate on the existence of information asymmetry and ownership structures in relation to the cost of equity capital. We also hope that it will be a valuable input for investors in considering their investment. Moreover, from the results of this study, investors can also consider foreign ownership or institutional ownership in determining their investment. In addition, stock market regulators in Indonesia can develop approaches to minimize information asymmetry and encourage foreign investors to invest in Indonesia.

scholarly journals The cost-effectiveness of an energy storage system using hydrogen and underground gas storage

2019 ◽  
Vol 137 ◽  
pp. 01007 ◽  
Author(s):  
Sebastian Lepszy
Keyword(s):  
Cost Effectiveness ◽  
Energy Storage ◽  
Historical Data ◽  
Renewable Energy Sources ◽  
Storage System ◽  
Energy Storage System ◽  
Electricity Production ◽  
Energy Market ◽  
The Cost ◽  
Random Nature

Due to the random nature of the production, the use of renewable energy sources requires the use of technologies that allow adjustment of electricity production to demand. One of the ways that enable this task is the use of energy storage systems. The article focuses on the analysis of the cost-effectiveness of energy storage from the grid. In particular, the technology was evaluated using underground hydrogen storage generated in electrolysers. Economic analyzes use historical data from the Polish energy market. The obtained results illustrate, among other things, the proportions between the main technology modules selected optimally in technical and economic terms.

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