The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance Approach
This paper examines whether small Islamic firms’ returns stochastically dominate (outperform) the returns of large Islamic firms using Ascending and Descending Stochastic Dominance (ASD and DSD) approaches. In other words, we investigate the size anomaly in Islamic equity indices. We use global, Eur...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-11-01
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| Series: | International Journal of Financial Studies |
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| Online Access: | https://www.mdpi.com/2227-7072/10/4/102 |
| _version_ | 1797979085376323584 |
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| author | Osamah AlKhazali Hooi Hooi Lean Taisier Zoubi |
| author_facet | Osamah AlKhazali Hooi Hooi Lean Taisier Zoubi |
| author_sort | Osamah AlKhazali |
| collection | DOAJ |
| description | This paper examines whether small Islamic firms’ returns stochastically dominate (outperform) the returns of large Islamic firms using Ascending and Descending Stochastic Dominance (ASD and DSD) approaches. In other words, we investigate the size anomaly in Islamic equity indices. We use global, European, Asian/Pacific, and US Islamic equity indices from 1996 to 2019. For risk-averse investors, we find that small-size portfolios of Islamic indices ASD outperform large-sized portfolios in Asia/Pacific and Europe, while the opposite is true in the Dow Jones and the US. For risk-seeking investors, we find that small-sized portfolios of Islamic indices DSD outperform large-sized portfolios in the Dow Jones and the US, while the opposite is true in Asia/Pacific and Europe. We conclude that a size anomaly is present, and Islamic stock indices are inefficient in the semi-strong form. The results of this study should assist those who are interested in investing in Islamic equity markets in building their investment portfolios. |
| first_indexed | 2024-04-11T05:33:22Z |
| format | Article |
| id | doaj.art-236e4ac0f459413e97c553dca218787d |
| institution | Directory Open Access Journal |
| issn | 2227-7072 |
| language | English |
| last_indexed | 2024-04-11T05:33:22Z |
| publishDate | 2022-11-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | International Journal of Financial Studies |
| spelling | doaj.art-236e4ac0f459413e97c553dca218787d2022-12-22T15:47:17ZengMDPI AGInternational Journal of Financial Studies2227-70722022-11-011010210210.3390/ijfs10040102The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance ApproachOsamah AlKhazali0Hooi Hooi Lean1Taisier Zoubi2Department of Finance, School of Business Administration, American University of Sharjah, Sharjah P.O. Box 26666, United Arab EmiratesSchool of Social Sciences, Universiti Sains Malaysia, Gelugor 11800, Penang, MalaysiaDepartment of Accounting, School of Business Administration, American University of Sharjah, Sharjah P.O. Box 26666, United Arab EmiratesThis paper examines whether small Islamic firms’ returns stochastically dominate (outperform) the returns of large Islamic firms using Ascending and Descending Stochastic Dominance (ASD and DSD) approaches. In other words, we investigate the size anomaly in Islamic equity indices. We use global, European, Asian/Pacific, and US Islamic equity indices from 1996 to 2019. For risk-averse investors, we find that small-size portfolios of Islamic indices ASD outperform large-sized portfolios in Asia/Pacific and Europe, while the opposite is true in the Dow Jones and the US. For risk-seeking investors, we find that small-sized portfolios of Islamic indices DSD outperform large-sized portfolios in the Dow Jones and the US, while the opposite is true in Asia/Pacific and Europe. We conclude that a size anomaly is present, and Islamic stock indices are inefficient in the semi-strong form. The results of this study should assist those who are interested in investing in Islamic equity markets in building their investment portfolios.https://www.mdpi.com/2227-7072/10/4/102Islamic equity indicessize anomalystochastic dominance analysis |
| spellingShingle | Osamah AlKhazali Hooi Hooi Lean Taisier Zoubi The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance Approach International Journal of Financial Studies Islamic equity indices size anomaly stochastic dominance analysis |
| title | The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance Approach |
| title_full | The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance Approach |
| title_fullStr | The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance Approach |
| title_full_unstemmed | The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance Approach |
| title_short | The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance Approach |
| title_sort | size anomaly in islamic stock indices a stochastic dominance approach |
| topic | Islamic equity indices size anomaly stochastic dominance analysis |
| url | https://www.mdpi.com/2227-7072/10/4/102 |
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