This paper investigates the performance of Shariah and conventional stock portfolios in India during the period 2001–2017 by using asset pricing models. We first examine the influence of Shariah investment principles on the stock returns’ cross-section. Then we assess the overall risk of Shariah and conventional portfolios, focusing also on financial crises. We provide evidence of a positive Shariah effect on stock returns in India. Therefore, Shariah stocks offer higher returns than non-Shariah stocks. We also find that Shariah portfolios have lower risk than unconstrained conventional ones. Overall our results reveal that both portfolios have similar performance, but the Shariah portfolio has a lower level of risk. Finally, the results clearly indicate that the volatility of the Shariah portfolio is lower during the crisis period.

Dharani, M., Hassan, M. K., Paltrinieri, A., Faith-based norms and portfolio performance: Evidence from India, <<GLOBAL FINANCE JOURNAL>>, 2019; 41 (N/A): 79-89. [doi:10.1016/j.gfj.2019.02.001] [http://hdl.handle.net/10807/177963]

Faith-based norms and portfolio performance: Evidence from India

Paltrinieri, A.
Writing – Review & Editing
2019

Abstract

This paper investigates the performance of Shariah and conventional stock portfolios in India during the period 2001–2017 by using asset pricing models. We first examine the influence of Shariah investment principles on the stock returns’ cross-section. Then we assess the overall risk of Shariah and conventional portfolios, focusing also on financial crises. We provide evidence of a positive Shariah effect on stock returns in India. Therefore, Shariah stocks offer higher returns than non-Shariah stocks. We also find that Shariah portfolios have lower risk than unconstrained conventional ones. Overall our results reveal that both portfolios have similar performance, but the Shariah portfolio has a lower level of risk. Finally, the results clearly indicate that the volatility of the Shariah portfolio is lower during the crisis period.
2019
Inglese
Dharani, M., Hassan, M. K., Paltrinieri, A., Faith-based norms and portfolio performance: Evidence from India, <<GLOBAL FINANCE JOURNAL>>, 2019; 41 (N/A): 79-89. [doi:10.1016/j.gfj.2019.02.001] [http://hdl.handle.net/10807/177963]
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/177963
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 30
  • ???jsp.display-item.citation.isi??? 23
social impact