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Heuristic Based Low Volatility Portfolio For Retail Investors In Malaysian Stock Market

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dc.contributor.authorSiti Masitah Elias,en_US
dc.contributor.authorMuhd Faiz Najmi Abdul Wahab,en_US
dc.contributor.authorKarmila Hanim Kamil,en_US
dc.contributor.authorAsmah Mohd Jaaparen_US
dc.date.accessioned2024-05-28T05:44:25Z
dc.date.available2024-05-28T05:44:25Z
dc.date.issued2020
dc.date.submitted16/2/2021
dc.description.abstractHeuristics based low volatility portfolio construction is a straightforward investment strategy that could be implemented by retail investors in the stock market. This study examines the performance of low volatility portfolio for Shariah and conventional stock portfolios. Specifically, this study back tests the profitability of low volatility portfolio using 15 Shariah and conventional stocks that are listed on Bursa Malaysia using data from January 2014 until December 2018. Combination of large, mid, and small capital firms are included in the study to highlight the difference in portfolio concentration within firm size classification. The results show that, the return of conventional portfolio and shariah compliant portfolio is not statistically different. However, the risk in shariah compliant portfolio is statistically higher than the conventional portfolio. Both portfolios give better annualized return and holding period return than their respective benchmark. Thus, retail investor could take advantage of the strategy to generate abnormal return. For investors that focus on shariah compliant investment only, even though the portfolio has slightly higher risk than the conventional counterpart, this strategy is still worth considering. However, it is advisable for investor to monitor portfolio risk regularly to avoid excessive risk taking and to include more shariah compliant large cap stocks in the portfolio. Keywords: Low Volatility Portfolio, Shariah Compliant Stock, Retail Investor.en_US
dc.identifier.citationElias, S. M., Abdul Wahab, M. F. N., Kamil, K. H., and Jaapar, A. M. (2020). Heuristic Based Low Volatility Portfolio for Retail Investors in Malaysian Stock Market . International Journal of Academic Research in Accounting, Finance and Management Sciences. 10(3), 193-203.en_US
dc.identifier.doihttp://dx.doi.org/10.6007/IJARAFMS/v10-i3/7756
dc.identifier.epage203
dc.identifier.issn2225-8329
dc.identifier.issue3
dc.identifier.other2173-12
dc.identifier.spage193
dc.identifier.urihttps://hrmars.com/papers/detail/IJARAFMS/7756/Heuristic-Based-Low-Volatility-Portfolio-for-Retail-Investors-in-Malaysian-Stock-Market
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/6220
dc.identifier.volume10
dc.language.isoenen_US
dc.publisherHRMARSen_US
dc.relation.ispartofInternational Journal of Academic Research in Accounting Finance and Management Sciencesen_US
dc.subjectLow Volatility Portfolio,en_US
dc.subjectShariah Compliant Stock,en_US
dc.subjectRetail Investor.en_US
dc.titleHeuristic Based Low Volatility Portfolio For Retail Investors In Malaysian Stock Marketen_US
dc.typeArticleen_US
dspace.entity.typePublication

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