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Über dieses Buch

This book addresses contemporary empirical issues in Islamic stock markets including volatility, efficiency and Sukuk defaults. The studies contained within this book consider a combination of pure Islamic stock markets and comparative studies, with reference to their conventional counterparts. The authors provide up-to-date, robust, accurate, reliable empirical enquiries addressing current issues of stock markets as well as providing up to date information and statistics to support future development and research. The book also covers a chapter on the current trends in research in Islamic capital markets, which analyses some recent and leading works to highlight and indicate the gaps in research that require further exploration. This book will be of value to all those who wish to gain a more thorough understanding of research in Islamic capital markets and the major topics in the field.



Chapter 1. Islamic Capital Market Research: Past Trends and Future Considerations

Islamic capital markets are an emerging research theme in financial market studies, which can be further expanded owing to a dearth of extensive studies in this field. A major part of the literature covers the comparative analysis of the Islamic financial system with conventional counterparts, divided amongst banking and capital markets. The aim of this chapter is to demonstrate the extraordinary potential and depth of current and future research themes in Islamic capital markets. The chapter discusses the areas and issues that have been covered intensively in the recent literature and also helps to identify the areas that have received relatively less attention. Finally, the chapter also points to the newest areas of research that seem promising for future research into Islamic capital markets.

Syed Aun R. Rizvi, Nafis Alam

Chapter 2. The Determinants of Islamic Equity Fund Performance: Global Evidence

Utilising the survivorship bias-free sample of 212 Islamic equity funds with an investment focus in Asia Pacific, Emerging markets, Europe, Global (no focus to any specific country/region), Middle East and North Africa, and North America for the period of 12 years from January 2002 to December 2013, we examine performance determinants of these funds. The factors include fund characteristics such as age, size and fees and macroeconomic variables such as economic development, financial development and infrastructure development. Our findings can be summarised as: (a) only size variable is found to be a significant factor for fund performance among the fund characteristics (b) infrastructure development is an important determinant of fund performance and (c) the evidence suggesting the positive effect of economic and financial development is ambiguous.

Wajahat Azmi, Mohsin Ali

Chapter 3. On Sukuk Insolvencies: A Case Study of East Cameron Partner

An effective and universally acceptable legal, regulatory and insolvency framework for Islamic finance in general and sukuk in particular is currently lacking. Of particular concern is the question of how a secular court may protect the rights of sukuk holders. East Cameron Partner (ECP) sukuk is an interesting case where many of issues in sukuk insolvencies have been highlighted. The current study is concerned with the background of ECP sukuk issuance, its insolvency, its filing for bankruptcy under Chapter 11 of the United States’ Bankruptcy Code and the behaviour of the US bankruptcy court towards the issue of the ownership of the sukuk holders. The case sheds light on the importance of asset-based and asset-backed sukuk distinction in Islamic finance.

Najeeb Zada, Ahcene Lahsasna, Muhammad Yusuf Saleem

Chapter 4. The Relationship Between Islamic Stock Markets and Business Cycles: A Regional Perspective

The unstable nature of business cycles makes it necessary to study the relationships between stock performance and economic activity. Novel to this multifaceted mix are Islamic equity markets which have witnessed tremendous growth over the last decade. This suggests a causal relationship between the performance of the stock market and business cycles. This study attempts to analyse the relationship between the volatility of Islamic stock indices and business cycles and assess how Islamic stock fairs compared with conventional stock indices. Spanning over 10 years, our results indicate that across regions, Islamic indices appeared to be more volatile during times of economic downturn and less volatile during the growth phase of a business cycle.

Shaista Arshad

Chapter 5. Islamic Interbank Money Market: Contracts, Instruments and Their Pricing

This chapter discusses the Islamic interbank money market, its instruments and operations. The discussion demonstrates that the existence of a viable Islamic interbank money market is crucial for the successful implementation of an Islamic financial system. The chapter examines the various interbank money market instruments, their underlying Islamic contracts and their pricing mechanisms, with appropriate examples. The availability of various Islamic interbank money market instruments allows Islamic banks to cover their exposure (in case of deficit) and make placement on short-term basis (in case of surplus). Moving forward, a greater variety of instruments with fixed return mechanisms and tradability features, which at the same time invite fewer Shariah issues, must be offered in the market to ensure a more vibrant Islamic interbank money market.

Buerhan Saiti, Aznan Hasan, Engku Rabiah Adawiah Engku Ali

Chapter 6. Exploring Efficiency, Co-integration, Causality and Volatility Clustering in Unrestricted and Islamic Portfolios

Unlike unrestricted portfolios, Islamic portfolios have a narrow opportunity set for investment. They also face trading restrictions due to the prohibition of futures, short selling, options and day trading which can potentially create significant limits to arbitrage. In this study, we explore weak-form market efficiency in comparable unrestricted and Islamic portfolios. The study also investigates the existence of Autoregressive Conditional Heteroscedasticity (ARCH) effects in the returns series of unrestricted and Islamic portfolios in developed and emerging markets. Finally, we also investigate the existence of bi-directional causality between portfolios. From the runs test, we find that the returns of most indices are random, except for a few. Finally, we also find strong evidence for co-integration and causality in both directions between Islamic and unrestricted market portfolios.

Salman Ahmed Shaikh, Muhammad Hakimi Mohd. Shafiai, Abdul Ghafar Ismail, Mohd. Adib Ismail


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