What is it about?
This paper examines the impact of qualitative and quantitative ethical screens on risk and returns in the case of Shariah (Islamic law) compliant investment.
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Why is it important?
This is the first study to use four different Shariah screening methodologies to screen investments for Shariah compliance. Also, the impact is analysed both on returns and risk by modelling the volatility of constructed Islamic stock indices using EGARCH volatility model.
Perspectives
This study is carried out for the Moroccan stock market with regards to the recent character of Islamic finance in the country (participative banks were introduced by the end of 2015). The authors expect to expand the sample of financial data to include larger periods and more neighboring countries for comparison.
Dr. Issam BOUSALAM
Universite Abdelmalek Essaadi
Read the Original
This page is a summary of: Impact of ethical screening on risk and returns, Journal of Financial Regulation and Compliance, July 2016, Emerald,
DOI: 10.1108/jfrc-01-2016-0002.
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