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Syariah and Conventional Stocks: A Comparative Study Using Stochastic Dominance |
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| รหัสดีโอไอ | |
| Creator | Agus Saur Utomo |
| Title | Syariah and Conventional Stocks: A Comparative Study Using Stochastic Dominance |
| Contributor | Mamduh Mahmadah Hanafi |
| Publisher | Assumption University |
| Publication Year | 2565 |
| Journal Title | ABAC Journal |
| Journal Vol. | 42 |
| Journal No. | 2 |
| Page no. | 216-244 |
| Keyword | Syariah stock, Conventional stock, Stochastic Dominance |
| URL Website | www.abacjournal.au.edu |
| Website title | ABAC Journal |
| ISSN | 0858-0855 |
| Abstract | This study compares the performance of Syariah stocks to that of Conventional stocks in the non-crisis, crisis, and overall periods, using the Stochastic Dominance approach of Davidson and Duclos (2000). A sample of Indonesian stocks from Daftar Efek Syariah (DES) and Malaysian stocks fromSenarai Sekuriti Patuh Syariah (SSPS) were screened to obtain pure Syariah stocks. The study covers a 10-year-period for Indonesia and a 12-year-period for Malaysia. The study found that Indonesia’s Syariah stocks stochastically dominate Indonesia’s Conventional stocks in overall and non-crisis periods. However, during the crisis period, the performance of Indonesia’s Syariah stocks decreased so that the performance of Syariah stocks was equal to that of Indonesia’s Conventional stocks. In this period, the return of Indonesia’s Syariah stocks decreased significantly. For Malaysia, it was found that the performance of Malaysia’s Syariah stocks was equal to that of Malaysia’s Conventional stocks in the overall period. However, in the global crisis period, Malaysia’s Syariah stocks stochastically dominated that of Malaysia’s Conventional stocks. The results of this study have implications for investors in general and Syariah investors in particular. Investing in Syariah stocks maintains two objectives: compliance to Syariah and earning a competitive return. Investors, in general, can also diversify their portfolios better and increase their expected wealth and/or expected utilities. |
