SYARIAH AND CONVENTIONAL STOCKS: A COMPARATIVE STUDY USING STOCHASTIC DOMINANCE
This study compares the performance of Syariah stocks to that of Conventional stocks in the non-crisis, crisis, and overall periods, using the Stochastic Dominance approach of Davidson and Duclos (2000). A sample of Indonesian stocks from Daftar Efek Syariah (DES) and Malaysian stocks from Senarai S...
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| Format: | Article |
| Language: | English |
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Assumption University
2022
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| Online Access: | https://repository.ugm.ac.id/282983/1/32%20Utomo%20A.S.%3B%20Hanafi%20M.M..pdf |
| _version_ | 1797037614459518976 |
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| author | Utomo, Agus Saur Hanafi, Mamduh M |
| author_facet | Utomo, Agus Saur Hanafi, Mamduh M |
| author_sort | Utomo, Agus Saur |
| collection | UGM |
| description | This study compares the performance of Syariah stocks to that of Conventional stocks in the non-crisis, crisis, and overall periods, using the Stochastic Dominance approach of Davidson and Duclos (2000). A sample of Indonesian stocks from Daftar Efek Syariah (DES) and Malaysian stocks from Senarai Sekuriti Patuh Syariah (SSPS) were screened to obtain pure Syariah stocks. The study covers a 10-year-period for Indonesia and a 12-year-period for Malaysia. The study found that Indonesia’s Syariah stocks stochastically dominate Indonesia’s Conventional stocks in overall and non-crisis periods. However, during the crisis period, the performance of Indonesia’s Syariah stocks decreased so that the performance of Syariah stocks was equal to that of Indonesia’s Conventional stocks. In this period, the return of Indonesia’s Syariah stocks decreased significantly. For Malaysia, it was found that the performance of Malaysia’s Syariah stocks was equal to that of Malaysia’s Conventional stocks in the overall period. However, in the global crisis period, Malaysia’s Syariah stocks stochastically dominated that of Malaysia’s Conventional stocks. The results of this study have implications for investors in general and Syariah investors in particular. Investing in Syariah stocks maintains two objectives: compliance to Syariah and earning a competitive return. Investors, in general, can also diversify their portfolios better and increase their expected wealth and/or expected utilities © 2022. ABAC Journal.All Rights Reserved. |
| first_indexed | 2024-03-14T00:06:02Z |
| format | Article |
| id | oai:generic.eprints.org:282983 |
| institution | Universiti Gadjah Mada |
| language | English |
| last_indexed | 2024-03-14T00:06:02Z |
| publishDate | 2022 |
| publisher | Assumption University |
| record_format | dspace |
| spelling | oai:generic.eprints.org:2829832023-11-17T02:50:45Z https://repository.ugm.ac.id/282983/ SYARIAH AND CONVENTIONAL STOCKS: A COMPARATIVE STUDY USING STOCHASTIC DOMINANCE Utomo, Agus Saur Hanafi, Mamduh M Economics and Business Financial Management This study compares the performance of Syariah stocks to that of Conventional stocks in the non-crisis, crisis, and overall periods, using the Stochastic Dominance approach of Davidson and Duclos (2000). A sample of Indonesian stocks from Daftar Efek Syariah (DES) and Malaysian stocks from Senarai Sekuriti Patuh Syariah (SSPS) were screened to obtain pure Syariah stocks. The study covers a 10-year-period for Indonesia and a 12-year-period for Malaysia. The study found that Indonesia’s Syariah stocks stochastically dominate Indonesia’s Conventional stocks in overall and non-crisis periods. However, during the crisis period, the performance of Indonesia’s Syariah stocks decreased so that the performance of Syariah stocks was equal to that of Indonesia’s Conventional stocks. In this period, the return of Indonesia’s Syariah stocks decreased significantly. For Malaysia, it was found that the performance of Malaysia’s Syariah stocks was equal to that of Malaysia’s Conventional stocks in the overall period. However, in the global crisis period, Malaysia’s Syariah stocks stochastically dominated that of Malaysia’s Conventional stocks. The results of this study have implications for investors in general and Syariah investors in particular. Investing in Syariah stocks maintains two objectives: compliance to Syariah and earning a competitive return. Investors, in general, can also diversify their portfolios better and increase their expected wealth and/or expected utilities © 2022. ABAC Journal.All Rights Reserved. Assumption University 2022 Article PeerReviewed application/pdf en https://repository.ugm.ac.id/282983/1/32%20Utomo%20A.S.%3B%20Hanafi%20M.M..pdf Utomo, Agus Saur and Hanafi, Mamduh M (2022) SYARIAH AND CONVENTIONAL STOCKS: A COMPARATIVE STUDY USING STOCHASTIC DOMINANCE. ABAC Journal, 42 (2). 216 – 244. ISSN 08580855 https://www.scopus.com/record/display.uri?eid=2-s2.0-85131092198&origin=inward&txGid=847352421f121aa3e65093eb053cce3c |
| spellingShingle | Economics and Business Financial Management Utomo, Agus Saur Hanafi, Mamduh M SYARIAH AND CONVENTIONAL STOCKS: A COMPARATIVE STUDY USING STOCHASTIC DOMINANCE |
| title | SYARIAH AND CONVENTIONAL STOCKS: A COMPARATIVE STUDY USING STOCHASTIC DOMINANCE |
| title_full | SYARIAH AND CONVENTIONAL STOCKS: A COMPARATIVE STUDY USING STOCHASTIC DOMINANCE |
| title_fullStr | SYARIAH AND CONVENTIONAL STOCKS: A COMPARATIVE STUDY USING STOCHASTIC DOMINANCE |
| title_full_unstemmed | SYARIAH AND CONVENTIONAL STOCKS: A COMPARATIVE STUDY USING STOCHASTIC DOMINANCE |
| title_short | SYARIAH AND CONVENTIONAL STOCKS: A COMPARATIVE STUDY USING STOCHASTIC DOMINANCE |
| title_sort | syariah and conventional stocks a comparative study using stochastic dominance |
| topic | Economics and Business Financial Management |
| url | https://repository.ugm.ac.id/282983/1/32%20Utomo%20A.S.%3B%20Hanafi%20M.M..pdf |
| work_keys_str_mv | AT utomoagussaur syariahandconventionalstocksacomparativestudyusingstochasticdominance AT hanafimamduhm syariahandconventionalstocksacomparativestudyusingstochasticdominance |