Effective Stock Selection and Portfolio Construction Within US, International, and Emerging Markets

Several strategies are adopted by investors in lowering the risk of investment while maximising its return. Graham's stock selection criteria are noted as one of the best strategies in selecting portfolios by investors. Although the model is universally accepted, it is less commonly practised and examined in emerging markets. Considering the growth of these emerging countries' financial markets, it is worthwhile to investigate the doctrine's effect on investment in these countries. This study endeavours to review the consequence of Graham's stock selection criteria on portfolio returns in the Malaysian and Saudi Arabian stock markets. Each country represents the fastest growing market in their region which justifies this study. The study found that the Malaysian stock market is capable of proffering abnormal returns to investors while the Saudi stock market is capable to offer abnormal returns to investors despite being an undeveloped and immature stock market. The study concludes that the model of stock selection remains beneficial and indeed valuable to regional investments.

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Stock Selection in the Eastern European Emerging Markets

The Journal of Alternative Investments ◽

10.3905/jai.2002.319043 ◽

2002 ◽

Vol 5 (1) ◽

pp. 55-59

Author(s):

Anthony Bercel

Keyword(s):

Emerging Markets ◽

Eastern European ◽

Stock Selection

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PERFORMANCE OF SHARIAH VERSUS CONVENTIONAL FUNDS: LESSONS FROM EMERGING MARKETS

Journal of Nusantara Studies (JONUS) ◽

10.24200/jonus.vol4iss2pp193-218 ◽

2019 ◽

Vol 4 (2) ◽

pp. 193-218

Author(s):

Ruzita Abdul-Rahim ◽

Aisyah Abdul-Rahman ◽

Pick-Soon Ling

Keyword(s):

South Africa ◽

Emerging Markets ◽

Mutual Funds ◽

Market Timing ◽

Stock Selection ◽

Fund Managers ◽

Merton Model ◽

Cross Country

This study compares the performance of Shariah and conventional mutual funds in emerging markets. The performance of 833 Shariah and conventional funds in 6 emerging markets from 2000 to 2015 was analyzed. We analyzed the Sharpe index, Treynor index, and Jensen’s alpha to compare the performance of Shariah and conventional funds. Jensen's alpha results conform to those of Sharpe’s in indicating that Shariah funds slightly outperform their conventional counterparts particularly in the case of Malaysia, Pakistan, and South Africa. Conventional funds perform exceptionally well in Egypt. Further investigation using the Henriksson–Merton model shows that fund managers’ performance relies nearly completely on their stock selection skills because they have either inferior or ineffective ability in timing the market. This study is the first cross-country attempt to compare the performance of Shariah and conventional funds in emerging markets in terms of risk-adjusted returns, security selectivity, and market timing capability. Keywords: Emerging markets, Jensen’s alpha, mutual funds, risk-adjusted performances, Shariah mutual funds Cite as: Abdul-Rahim, R. Abdul-Rahman, A., & Ling, P-S. (2019). Performance of Shariah versus conventional funds: Lessons from emerging markets. Journal of Nusantara Studies, 4(2), 193-218. http://dx.doi.org/10.24200/jonus.vol4iss2pp193-218

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Earnings Forecasting in a Global Stock Selection Model and Efficient Portfolio Construction and Management

SSRN Electronic Journal ◽

10.2139/ssrn.2552972 ◽

2014 ◽

Author(s):

John Guerard ◽

Harry Markowitz ◽

Ganlin Xu

Keyword(s):

Selection Model ◽

Portfolio Construction ◽

Stock Selection ◽

Earnings Forecasting ◽

Global Stock

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Analyzing Stock-Bond Correlation in Emerging Markets

Research in Applied Economics ◽

10.5296/rae.v11i3.15390 ◽

2019 ◽

Vol 11 (3) ◽

pp. 83

Author(s):

Qurat Ul Ain Ehtesham ◽

Danish Ahmed Siddiqui

Keyword(s):

Emerging Markets ◽

White Noise ◽

Asset Allocation ◽

Multivariate Garch ◽

Portfolio Construction ◽

Conditional Volatility ◽

Price Data ◽

Lm Test ◽

Noise Error ◽

Diversification Benefit

This study investigates stock-bond correlation in 17 countries of emerging markets during 2011 to 2018 using monthly price data. Data was analyzed using ARCH-LM test, GJR GARCH and Multivariate GARCH type Asymmetric DCC model. Findings of this paper revealed that sequence of return series are stationary containing white noise error, past return volatilities do not have the ability to predict future volatilities and conditional volatility is higher and negative momentum of the market increase the correlation of stock and bond in a country or vice versa and hence increase the diversification benefit for asset allocation in a portfolio construction and provide hedging assets characteristics among countries and it is found that there is a co-movement between stock and bond in a country of emerging markets.

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