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Market Timing And Stock Selection Strategies In Shariah Compliant Stock Portfolio

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dc.contributor.authorMuhammad Akhimullah Abd Halimen_US
dc.contributor.authorSiti Masitah Binti Eliasen_US
dc.contributor.authorKarmila Hanim Binti Kamilen_US
dc.date.accessioned2024-05-27T14:51:02Z
dc.date.available2024-05-27T14:51:02Z
dc.date.issued2021
dc.date.submitted2021-11-12
dc.description.abstractThis study focuses on market timing and stock selection strategies that could be implemented by individual investors of Shariah-compliant equity using the top ten constituents of the FTSE Bursa Malaysia Hijrah Shariah Index. Investors are assumed to enter and exit the stock market following the buy-and-sell signal from Moving Average Crossover. Meanwhile, for stock selection, this study aims to construct the optimal portfolio using the Sharpe Ratio Maximisation model and Naïve (1/N) portfolio. The level of market timing and selectivity skills of individual investors following the suggested investment strategies will be measured by using the Treynor-Mazuy model. The empirical results showed that the best Moving Average Crossover gave plausible trading frequencies and provided the most return to investors was the (1, 100, 0.01) strategy. Albeit, the stock allocation for the constructed portfolio was less diversified compared to the Naïve (1/N) portfolio, the composition of portfolio weights of the constructed portfolio was able to offer a more than average risk to reward ratio. Furthermore, in the out-of-sample framework, both portfolios outperformed the market benchmark. Unlike previous studies, this study backed tests the strategy and found that it was beneficial for individual investors of Shariah-compliant equities to enhance market timing and selectivity skills in stock investment.en_US
dc.identifier.doi10.47836/pjssh.29.2.26
dc.identifier.epage1247
dc.identifier.issn0128-7702
dc.identifier.issue2
dc.identifier.other2173-16
dc.identifier.spage1231
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/3859
dc.identifier.volume29
dc.language.isoenen_US
dc.publisherUPM Pressen_US
dc.relation.ispartofPertanika Journal of Social Sciences & Humanitiesen_US
dc.subjectIndividual investors, market timing, Moving Average Crossover, Shariah-compliant equities, Sharpe Ratio Maximisation, stock selectionen_US
dc.titleMarket Timing And Stock Selection Strategies In Shariah Compliant Stock Portfolioen_US
dc.typeArticleen_US
dspace.entity.typePublication

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