Publication: Performance and Volatility Modelling for Shariah Compliant Stocks in Malaysia Using Exponentially Weighted Moving Average
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Date
2020
Journal Title
Journal ISSN
Volume Title
Publisher
Universiti Sains Islam Malaysia
Abstract
The diversity of investment in Malaysia provides an excellent platform to gauge volatility. Malaysia as an emerging market with a rich Islamic culture serves as an inspiration to randomly model a portfolio of 50 Shariah compliant stock returns from 2015 to 2020. The systematic risk of a company’s stock returns is measured by computing the volatility and downside volatility for the said period. The Exponentially Weighted Moving Average (EWMA) method is used to outline the risk levels of Shariah compliant stocks for the recent stipulated period. The results indicate a statistical difference between beta and downside beta for Shariah compliant portfolio. This signals investors to be cognisant of the semi-variant characteristics of returns in estimating volatility. Meanwhile, there is no significant difference in performance using the Sharpe and Sortino ratio on the beta and downside beta scores respectively. Consequently, this suggests that investors can always measure performance to a sufficient degree of accuracy regardless of their volatility choice
Description
Keywords
Beta; Downside beta; Shariah-compliant stocks; EWMA; Sortino ratio; Sharpe ratio
Citation
Jeng, A., Mohd Japar, A., & Hamzah, S. R. (2020). Performance and Volatility Modelling for Shariah Compliant Stocks in Malaysia Using Exponentially Weighted Moving Average. Malaysian Journal of Science Health & Technology, 7(Special Issue). https://doi.org/10.33102/mjosht.v7i.101