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

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 st...

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Bibliographic Details

Main Authors:	Assan Jeng, Asmah Mohd Jaapar, Siti Raihana Hamzah
Format:	Article
Language:	en_US
Published:	Universiti Sains Islam Malaysia 2024
Subjects:	Beta; Downside beta; Shariah-compliant stocks; EWMA; Sortino ratio; Sharpe ratio
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