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The conditional CAPM and cross-sectional evidence of return and beta for Islamic Unit Trust in Malaysia

The aim of this paper is to investigate the relationship between return and beta for Islamic unit trusts using the cross-sectional regression analysis. The estimation of return and beta without differentiating between positive and negative excess market returns produces a flat unconditional relatio...

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Main Authors: Ismail, Abd Ghafar, Shakrani, Mohd Saharudin
Format: Article
Language:English
Published: The International Islamic University Malaysia 2003
Subjects:
BP Islam. Bahaism. Theosophy, etc
HG Finance
Online Access:http://repo.uum.edu.my/3867/1/Abd.pdf
http://repo.uum.edu.my/3867/
http://www.iium.edu.my/enmjournal/111art1.pdf
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spelling my.uum.repo.38672012-02-15T00:31:40Z http://repo.uum.edu.my/3867/ The conditional CAPM and cross-sectional evidence of return and beta for Islamic Unit Trust in Malaysia Ismail, Abd Ghafar Shakrani, Mohd Saharudin BP Islam. Bahaism. Theosophy, etc HG Finance The aim of this paper is to investigate the relationship between return and beta for Islamic unit trusts using the cross-sectional regression analysis. The estimation of return and beta without differentiating between positive and negative excess market returns produces a flat unconditional relationship between return and beta. Using the conditional CAPM and cross-sectional regression analysis, the evidence in this paper tends to support a significant positive relationship in an up-market and a significant negative relationship in a down-market. This paper suggests that beta could be used as a tool in explaining cross-sectional differences in Islamic unit trusts returns and as a measure of market risk. Based on the adjusted-R and standard error of the conditional relationship between returns we find that beta is higher in a downmarket than in an up-market. Therefore, both statistics are appropriate measurements of conditional relationships. The International Islamic University Malaysia 2003 Article PeerReviewed application/pdf en http://repo.uum.edu.my/3867/1/Abd.pdf Ismail, Abd Ghafar and Shakrani, Mohd Saharudin (2003) The conditional CAPM and cross-sectional evidence of return and beta for Islamic Unit Trust in Malaysia. IIUM Journal of Economics and Management, 11 (1). pp. 1-30. ISSN 1394-7680 http://www.iium.edu.my/enmjournal/111art1.pdf
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic BP Islam. Bahaism. Theosophy, etc
HG Finance
spellingShingle BP Islam. Bahaism. Theosophy, etc
HG Finance
Ismail, Abd Ghafar
Shakrani, Mohd Saharudin
The conditional CAPM and cross-sectional evidence of return and beta for Islamic Unit Trust in Malaysia
description The aim of this paper is to investigate the relationship between return and beta for Islamic unit trusts using the cross-sectional regression analysis. The estimation of return and beta without differentiating between positive and negative excess market returns produces a flat unconditional relationship between return and beta. Using the conditional CAPM and cross-sectional regression analysis, the evidence in this paper tends to support a significant positive relationship in an up-market and a significant negative relationship in a down-market. This paper suggests that beta could be used as a tool in explaining cross-sectional differences in Islamic unit trusts returns and as a measure of market risk. Based on the adjusted-R and standard error of the conditional relationship between returns we find that beta is higher in a downmarket than in an up-market. Therefore, both statistics are appropriate measurements of conditional relationships.
format Article
author Ismail, Abd Ghafar
Shakrani, Mohd Saharudin
author_facet Ismail, Abd Ghafar
Shakrani, Mohd Saharudin
author_sort Ismail, Abd Ghafar
title The conditional CAPM and cross-sectional evidence of return and beta for Islamic Unit Trust in Malaysia
title_short The conditional CAPM and cross-sectional evidence of return and beta for Islamic Unit Trust in Malaysia
title_full The conditional CAPM and cross-sectional evidence of return and beta for Islamic Unit Trust in Malaysia
title_fullStr The conditional CAPM and cross-sectional evidence of return and beta for Islamic Unit Trust in Malaysia
title_full_unstemmed The conditional CAPM and cross-sectional evidence of return and beta for Islamic Unit Trust in Malaysia
title_sort conditional capm and cross-sectional evidence of return and beta for islamic unit trust in malaysia
publisher The International Islamic University Malaysia
publishDate 2003
url http://repo.uum.edu.my/3867/1/Abd.pdf
http://repo.uum.edu.my/3867/
http://www.iium.edu.my/enmjournal/111art1.pdf
_version_ 1644278614590488576
score 13.211869

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