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

5th Annual American Business Research Conference, Sheraton Laguardia East Hotel, New York, USA, 6-7 June, 2013

24 Pages Posted: 7 Jan 2014 Last revised: 23 Jan 2018

See all articles by Muhammad Hanif

Muhammad Hanif

National University of Computer and Emerging Sciences (NUCES or FAST-NU) - FAST School of Business

Date Written: January 6, 2014

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 monetary 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 four monetary variables in addition to market index in our study for ten years period (2001-10). Results identified two important variables 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.

Keywords: Shari’a compliant Securities, macroeconomic variables, APT, KSE, Pakistan

JEL Classification: G11, G12

Suggested Citation

Hanif, Muhammad, Impact of Financial Sector Variables on Shari’a Compliant Cross-Section Stock Returns (January 6, 2014). 5th Annual American Business Research Conference, Sheraton Laguardia East Hotel, New York, USA, 6-7 June, 2013, Available at SSRN: https://ssrn.com/abstract=2375148

Muhammad Hanif (Contact Author)

National University of Computer and Emerging Sciences (NUCES or FAST-NU) - FAST School of Business ( email )

A.K. Brohi Road
Sector H/11-4
Islamabad, 44000
Pakistan
+92 (051) 111 128 128 (Phone)

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