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Risk and Returns of Sharīʿah Compliant Stocks on the Karachi Stock Exchange – A CAPM and SCAPM Approach المخاطر والعوائد في مقطع عرضي من الأسهم المتوافقة مع الشريعة: اختبار متانة التطبيق وعيوب نموذج تسعير الأصول الرأسمالية (CAPM)

Author

Listed:
  • Muhammad Hanif

    (Associate Professor, Bahria University, Islamabad, Pakistan)

  • Abdullah Iqbal

    (Senior lecturer, University of Kent, UK)

  • Zulfiqar Shah

    (Assistant Professor, International Islamic University, Islamabad, Pakistan)

Abstract

This study documents the asset pricing mechanism of Sharīʿah compliant securities listed on the Karachi Stock Exchange. We select the CAPM market model to test for the impact in variations of stock returns on a sample of Sharīʿah-compliant companies on ten years monthly data (2001-10). We first test the basic CAPM (Capital Asset Pricing Model) and its modified form known as the Sharīʿah-compliant asset pricing model (SCAPM). We also analyze return differences due to size (market capitalization), book to market (B/M) value, price-earning ratio (PER), and cash-flow yield (CFY). Our results find a strong impact of the market index on stock returns (adj-R2 70%) and confirm the anomalies of size, B/M, CFY, and PER, while SCAPM is slightly better in explaining variations in cross-sectional stock returns. تهدف هذه الدراسة إلى فهم وتوثيق آلية تسعير أصول الأوراق المالية المتوافقة مع الشريعة الإسلامية المتداولة في بورصة كراتشي. اخترنا مؤشر السوق كمتغير، المبحوث بشكل جيد في ظل دراسات سوق رأس المال التقليدية، لاختبار مدى تأثير الاختلاف في عوائد الأسهم على عينة من الشركات المتوافقة مع الشريعة الإسلامية، وذلك بواسطة البيانات الشهرية لمدة عشر سنوات من 2001م إلى 2010م المتوفرة على قاعدة “Data Stream”. لقد اختبرنا المعادلة الأساسية لنموذج تسعير الأصول الرأسمالية (CAPM) والصيغة المعدلة لها نموذج تسعير الأصول الرأسمالية المتوافقة مع الشريعة (SCAPM). كما قمنا أيضا باختبار الاختلافات في العوائد الناتجة عن الفروق في: الحجم، نسبة القيمة الدفترية للقيمة السوقية (book to market ratio)، نسبة سعر السهم مع الكسب (price-earning ratio)، وعائد التدفق النقدي (cash-flow yield). أظهرت النتائج تأثيرا قويا لمؤشر السوق على عوائد الأسهم (معامل R مربع المعدل 70?) كما أكدت أيضا الاختلافات بسبب الحجم، ونسبة القيمة الدفترية للقيمة السوقية، ونسبة سعر السهم مع الكسب، وعائد التدفق النقدي؛ كما أن نموذج تسعير الأصول الرأسمالية المتوافقة مع الشريعة كان أفضل بقليل من نموذج تسعير الأصول الرأسمالية التقليدي في شرح الاختلافات في العوائد للمقطع العرضي من الأسهم.

Suggested Citation

  • Muhammad Hanif & Abdullah Iqbal & Zulfiqar Shah, 2016. "Risk and Returns of Sharīʿah Compliant Stocks on the Karachi Stock Exchange – A CAPM and SCAPM Approach المخاطر والعوائد في مقطع عرضي من الأسهم المتوافقة مع الشريعة: اختبار متانة التطبيق وعيوب نموذج ت," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 29(2), pages 37-54, January.
    • Handle: RePEc:abd:kauiea:v:29:y:2016:i:2:no:3:p:37-54
    DOI: 10.4197/Islec.29-2.3
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    References listed on IDEAS

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