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Impact of Real-Sector Macroeconomic Variables on Shari’a Compliant Cross-Section Stock Returns

Iqbal, Abdullah, Hanif, Muhammad, Shah, Zulfiqar (2013) Impact of Real-Sector Macroeconomic Variables on Shari’a Compliant Cross-Section Stock Returns. In: 5th SAICON Conference 2013, 04-06 Dec 2013, Bhurban, Murree, Pakistan. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)

Abstract

Shari’a compliant stocks are the recent development under Islamic finance, whereby stocks are screened through Shari’a compliance filters. This study is conducted to understand and document the important Real Sector macroeconomic factors contributing in determining stock prices of Shari’a compliant companies in Pakistan. Our sample includes all 97 non-financial companies screened by Al-Meezan Investment Management Ltd; based on accounting results of 2009. We have included Six Macroeconomic variables in addition to market index in our study for ten years period (2001-10). Results identified Zero real sector variable in pricing; however, with the inclusion of market index in analysis, the single important variable in pricing of Shari’a compliant securities is market Beta. Evidence favors CAPM for pricing of securities in local market as market index captures the risk of macroeconomic variables.

Item Type: Conference or workshop item (Speech)
Uncontrolled keywords: Shari’a compliant Securities, macroeconomic variables, APT, KSE, Pakistan
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School
Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Abdullah Iqbal
Date Deposited: 28 Nov 2017 10:54 UTC
Last Modified: 29 May 2019 19:55 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/64810 (The current URI for this page, for reference purposes)
Iqbal, Abdullah: https://orcid.org/0000-0002-3013-1007
Hanif, Muhammad: https://orcid.org/0000-0002-0417-4628
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