Publication:
Performance and Volatility Modelling for Shariah Compliant Stocks in Malaysia Using Exponentially Weighted Moving Average

Simple item page
dc.contributor.authorAssan Jengen_US
dc.contributor.authorAsmah Mohd Jaaparen_US
dc.contributor.authorSiti Raihana Hamzahen_US
dc.date.accessioned2024-05-30T02:07:09Z
dc.date.available2024-05-30T02:07:09Z
dc.date.issued2020
dc.date.submitted2021-2-4
dc.description.abstractThe 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 choiceen_US
dc.identifier.citationJeng, 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.101en_US
dc.identifier.doi10.33102/mjosht.v7i.101
dc.identifier.epage13
dc.identifier.issn2601-0003
dc.identifier.issueSpecial Issue
dc.identifier.other780-3
dc.identifier.spage1
dc.identifier.urihttps://mjosht.usim.edu.my/index.php/mjosht/article/view/101
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/15399
dc.identifier.volume7
dc.language.isoen_USen_US
dc.publisherUniversiti Sains Islam Malaysiaen_US
dc.relation.ispartofMALAYSIAN JOURNAL OF SCIENCE HEALTH & TECHNOLOGYen_US
dc.subjectBeta; Downside beta; Shariah-compliant stocks; EWMA; Sortino ratio; Sharpe ratioen_US
dc.titlePerformance and Volatility Modelling for Shariah Compliant Stocks in Malaysia Using Exponentially Weighted Moving Averageen_US
dc.typeArticleen_US
dspace.entity.typePublication

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Performance and Volatility Modelling for Shariah Compliant Stocks in Malaysia Using Exponentially Weighted Moving Average.pdf
Size:
635.27 KB
Format:
Adobe Portable Document Format
Download

Collections

Malaysian Journal of Science, Health & Technology (MJoSHT)