Faith-based norms and portfolio performance: Evidence from India

被引：26

作者：

Dharani, M. ^{[1
]}

Hassan, M. Kabir ^{[2
]}

Paltrinieri, Andrea ^{[3
]}

机构：

[1] Deemed Be Univ, ICFAI Business Sch IBS, Dept Finance, Hyderabad 501203, Telangana, India

[2] Univ New Orleans, Dept Econ & Finance, New Orleans, LA 70148 USA

[3] Univ Udine, Dept Econ & Stat, Udine, Italy

来源：

GLOBAL FINANCE JOURNAL | 2019年 / 41卷

关键词：

Portfolio management; Shariah portfolio; Islamic finance; Asset pricing; India; STOCK RETURNS; MUTUAL FUNDS; INVESTOR SENTIMENT; INDEXES; RAMADAN; VOLATILITY; STRATEGIES; MARKETS; IMPACT;

D O I：

10.1016/j.gfj.2019.02.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the performance of Shariah and conventional stock portfolios in India during the period 2001-2017 by using asset pricing models. We first examine the influence of Shariah investment principles on the stock returns' cross-section. Then we assess the overall risk of Shariah and conventional portfolios, focusing also on financial crises. We provide evidence of a positive Shariah effect on stock returns in India. Therefore, Shariah stocks offer higher returns than non-Shariah stocks. We also find that Shariah portfolios have lower risk than unconstrained conventional ones. Overall our results reveal that both portfolios have similar performance, but the Shariah portfolio has a lower level of risk. Finally, the results clearly indicate that the volatility of the Shariah portfolio is lower during the crisis period.

引用

页码：79 / 89

页数：11

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