ISSN: 2222-6990
Open access
The Islamic Capital Market (ICM) has grown rapidly in line with the increasing demand for various Shariah-compliant investment instruments. As the fastest growing investment component, Shariah-compliant stocks in Bursa Malaysia have attracted more attention not only to Muslim investors but also to non-Muslims investors to meet their investment objectives. However, most of the literature focused on the performance comparisons of Islamic and conventional indices. This study contributes to examine the overall performance of Shariah-compliant stocks across sectors which has significant implications into the relationship of risk-return. Therefore, the main objective of this study is to analyse the risk features of 57 Shariah-compliant stocks from 12 sectors from 2013 to 2018. Next, this study also focuses on evaluating the performance of Shariah-compliant at the sector level by using the standard-risk adjusted performance methods towards KLCI. Methods employed were Sharpe, Treynor and Jensen’s Alpha ratios. The empirical results reveal that the unsystematic risk component in Shariah-compliant stocks is very high with an average diversifiability measure of 0.914. The results indicate that all Shariah-compliant stocks are not fully diversified and there are still great opportunities for diversification. While the results show that the Islamic sectors have slightly outperformed the KLCI, it also highlights that application of different risk variables used such as standard deviation and beta will lead to differences in the performance ranking. At best, investors could use this ranking to make investment decisions without undertaking time-consuming analysis to determine the highest and lowest performing sectors in the stock market.
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In-Text Citation: (Amin et al., 2021)
To Cite this Article: Amin, F. A. M., Udin, M. N., T.Tairuddin, M. S., Syarifah Mahani Bt Syed Syahrill, A. B. M. H., & Jasni, N. A. binti M. (2021). Analysis of Risk Features and Performance Evaluation of Shariah-Compliance Stocks using Standard-Risk Adjusted Techniques. International Journal of Academic Research in Business and Social Sciences, 11(11), 303 – 316.
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