Murdoch University Research Repository

Welcome to the Murdoch University Research Repository

The Murdoch University Research Repository is an open access digital collection of research
created by Murdoch University staff, researchers and postgraduate students.

Learn more

The performance of stock portfolios: Evidence from analysing Malaysia case, and implication for open innovation

Hoque, A.ORCID: 0000-0001-8369-6653, Rakhi, S., Hassan, K. and Le, T. (2020) The performance of stock portfolios: Evidence from analysing Malaysia case, and implication for open innovation. Journal of Open Innovation: Technology, Market, and Complexity, 6 (4). Article 178.

[img]
Preview
PDF - Published Version
Download (245kB) | Preview
Free to read: https://doi.org/10.3390/joitmc6040178
*No subscription required

Abstract

This research examines the performance of the Islamic stock portfolio (ISP) and conventional stock portfolio (CSP) for the five industrial sectors and market in Malaysia. The capital asset pricing model statistics indicate that the ISP provides a higher return with a lower systematic risk compared to the CSP in different sectors; however, the ISP and CSP perform equally in the market. The non-parametric stochastic dominance approach reveals that the ISP is better than the CSP for portfolio return without considering the riskiness for all sectors except properties; further, the ISP outperforms the CSP under the market condition. Economic significance analysis identifies that the expected financial loss of the ISP is lower than that of the CSP in all sectors other than properties; the anticipated financial loss of the ISP is significantly less than that of the CSP in the market situation. The overall findings imply that the risk-sharing ISP is superior to the risk-bearing CSP for better returns at the sector as well as the market level.

Item Type: Journal Article
Murdoch Affiliation(s): Business
Publisher: Multidisciplinary Digital Publishing Institute (MDPI)
Copyright: © 2020 by the authors
URI: http://researchrepository.murdoch.edu.au/id/eprint/59085
Item Control Page Item Control Page

Downloads

Downloads per month over past year