Modelling the return of shariah with underlying indices of national stock exchange of India : a case of 3SLS and GMM estimation / Saif Siddiqui and Safika Praveen Sheikh.

Siddiqui, Saif and Sheikh, Safika Praveen (2016) Modelling the return of shariah with underlying indices of national stock exchange of India : a case of 3SLS and GMM estimation / Saif Siddiqui and Safika Praveen Sheikh. Journal of Emerging Economies and Islamic Research, 4 (2). pp. 1-15. ISSN 2289 – 2559

Abstract

Shariah indices can be used to construct socially reliable investment products that are attractive for those, who do not wish to invest in undesired business. National Stock Exchange of India introduced Nifty 50 Shariah and Nifty 500 Shariah indices to provide alternative indices for Shariah compliant companies. The study is an attempt to reveal the relationship between Nifty 50 Shariah and Nifty 500 Shariah with their underlying indices, Nifty 50 and Nifty 500.For this purpose a period of 01/01/2007 to 31/12/2015 is taken. Based on various objectives, techniques like Descriptive statistics, Correlation, Co-integration test, 3SLS and GMM estimation are used. It is concluded that return of Shariah Indices are better and risk is lesser, than underlying indices. These indices are the better option for portfolios.

Metadata

Item Type: Article
Creators:
CreatorsID Num. / Email
Siddiqui, SaifUNSPECIFIED
Sheikh, Safika PraveenUNSPECIFIED
Subjects: H Social Sciences > HG Finance
H Social Sciences > HG Finance > Investment, capital formation, speculation
H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities
Divisions: Universiti Teknologi MARA, Selangor > Puncak Alam Campus > Faculty of Business and Management
Journal or Publication Title: Journal of Emerging Economies and Islamic Research
Journal: UiTM Journal > Journal of Emerging Economies and Islamic Research
ISSN: 2289 – 2559
Volume: 4
Number: 2
Page Range: pp. 1-15
Official URL: http://www.jeeir.com/v2/index.php/29-current/2016/...
Item ID: 32795
Uncontrolled Keywords: NSE, Shariah Indices, 3SLS, GMM
URI: http://ir.uitm.edu.my/id/eprint/32795

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