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1 Durham Research Olie Deposited i DRO: 31 Jauary 2017 Versio of attached le: Published Versio Peer-review status of attached le: Peer-reviewed Citatio for published item: Asutay, M. ad Hedraastiti, N. (2015) 'Compariso of portfolio selectio ad performace : Shari'ah-compliat ad socially resposible ivestmet portfolios.', Idoesia capital market review., 7 (1). pp Further iformatio o publisher's website: Publisher's copyright statemet: This article is licesed uder a Creative Commos Attributio-ShareAlike 4.0 Iteratioal Licese Additioal iformatio: Use policy The full-text may be used ad/or reproduced, ad give to third parties i ay format or medium, without prior permissio or charge, for persoal research or study, educatioal, or ot-for-prot purposes provided that: a full bibliographic referece is made to the origial source a lik is made to the metadata record i DRO the full-text is ot chaged i ay way The full-text must ot be sold i ay format or medium without the formal permissio of the copyright holders. Please cosult the full DRO policy for further details. Durham Uiversity Library, Stockto Road, Durham DH1 3LY, Uited Kigdom Tel : +44 (0) Fax : +44 (0)

2 INDONESIAN CAPITAL MARKET REVIEW Compariso of Portfolio Selectio ad Performace: Shari ah-compliat ad Socially Resposible Ivestmet Portfolios Mehmet Asutay* ad Nur Dhai Hedraastiti** Durham Uiversity, UK This study examies the effect of Islamic screeig criteria o Shari ah-compliat portfolio selectio ad performace compared to Socially Resposible Ivestmet (SRI) portfolio. Each portfolio costructed from 15 stocks based o FTSE 100 usig data from year Mea-variace portfolio optimizatio is employed with some fiacial ratios added as costraits for the Shari ah portfolio. Aual expected retur of each portfolio from 2008 to 2013 is used to calculate Sharpe s ratio, Treyor ratio ad Jese s alpha as the performace measuremet tools. Macroecoomic variables are assessed usig ordiary least square to examie whether they ifluece the portfolios expected returs or ot. The result fids that Shari ah portfolio has a better performace tha SRI from year 2008 to 2010 show by higher value of the measuremet tools. However, from 2011 to 2013, SRI portfolio has better performace tha Shari ah portfolio. Keywords: Islamic screeig criteria, Shari ah portfolio, SRI portfolio, portfolio performace, macroecoomic variables Itroductio Portfolio optimisatio remais a importat research area, which has essetial cosequeces for the practice of it. Theoretically, Markowitz (1952) suggests that portfolio optimizatio should be determied by mea-variace theory. Ivestors will choose asset with higher risk as log as it is compesated with higher retur. However, ivestors who cosider about ivestig i Shari ah-compliat assets would like to have a alterative for their ivestmet that could fulfil Islamic fiace priciples. The risig awareess from ivestors about Shari ahcompliat ivestmet ad also developmet of Islamic fiace led to the establishmet of Shari ah screeig processes for assets to be classified as Shari ah-compliat assets or stocks; Dow Joes, S&P, ad FTSE established the Islamic screeig criteria ad Islamic idices as guidace for ivestors to participate i capital market that complies with their belief. For assets to be classified as shari ah-compliat, the assets have to go through screeig process. There are two types of Shari ah screeig processes: qualitative ad quatitative criteria (Derigs & Marzba, 2008). The qualitative criteria is related to the type of products ad busiess the compay egaged with, while quatitative criteria related to the proportio of asset, liabilities, equity, ad reveues i the balace sheet ad icome statemet. The former does ot relatively chage over time, sice it eeds plaig ad maagemet to chage the products sold by compay. Aother portfolio ivestmet that does ot oly cosider about mea-variace is Socially Resposible Ivestmet (SRI). There are some requiremets to * Faculty Member, Durham Uiversity, UK. **Graduate Studet of Durham Uiversity, UK. urdhaihedraastiti@yahoo.com 46

3 Asutay ad Hedraastiti be fulfilled for a stock to be classified as SRI stocks. The differece from Shari ah-compliat stocks is that SRI does ot have quatitative criteria to be fulfilled. This research aims to examie the effect of additioal requiremets other tha meavariace theory i Islamic portfolio selectio ad performace. I doig so, this study examies Islamic portfolio by comparig with SRI portfolio selectio ad performace, which the examiig the macroecoomic variables effect o portfolio retur. Literature Review Islamic fiace has uique characteristics i coductig busiess trasactios. Two of the mai priciples are to avoid riba ad gharar (Kahf, 2009). The prohibitio of riba ad gharar affects the operatio of capital markets, ad therefore, ivestors who wat to ivest i capital market without violatig Shari ah priciples eed guidace to participate i ivestmet. Thus, Shari ah scholars develop Islamic screeig criteria for ivestig i capital market, especially ivestig i stocks. As metioed, Islamic screeig criteria cosist of two types, qualitative ad quatitative criteria. The qualitative criteria are that compaies should ot be ivolved i moey-ledig ad iterest trasactios, such as baks ad isurace compaies (Ghoul & Karam, 2007). Other criteria are that the compaies should ot ivolve i the productio, distributio, ad/or profitig from alcohol, porography, tobacco, gamblig, weapos, music, etertaimet, processig pork meat or o-halal meat, hotels, ad airlies which serve alcohol o their premises. However, there are differet requiremets for the quatitative criteria depedig o the istitutios issuig the criteria (Derigs & Marzba, 2008). The quatitative criteria are related to liquidity ratio, iterest ratio, debt ratio, ad o-permissible ratio. As for SRI, it is iitially based o religious reasoig, for example the prohibitio of usury from Christiaity ad Islam. However, as the time ad kowledge evolves, moder SRI is more based o the varyig persoal ethical ad social beliefs of idividual ivestors (Reeboog et al., 2008). First moder SRI is the Pax World Fud established 1971 i Uited States, which aims for ivestors who are opposed to Vietam War. The SRI screeig criteria is divided ito positive ad egative. The positive screeig is that ivestig i compay which has strog labour relatios ad workplace coditios, ivolves i recyclig, waste reductio, ad evirometal clea-up, cocers about sustaiability, employmet diversity, reewable eergy, biotechology, ad commuity ivolvemet. O the other had, the egative screeig results imply that ivestors should ot cosider ivestig i compaies which ivolve i tobacco, alcohol, gamblig, defece/weapos, irresposible foreig operatios, atitrust violatios, cosumer fraud, marketig scadals, huma rights violatio, aimal testig, developmet of geetic egieerig for agricultural applicatios, isurace for o-married couples, healthcare, iterest-based fiacial istitutios, ad pork producers. To costruct portfolio, Markowitz (1952) itroduces the mea-variace optimizatio for fidig the optimal portfolio. The optimizatio problem is solved by miimizig variace of the portfolio subject to certai expected portfolio retur ad the sum of the assets weight is equal to oe. No-egativity costrait could be imposed if short sale is ot allowed. There could be may efficiet portfolios accordig to the expected portfolio retur determied. Those portfolios could form efficiet frotier lie, as ivestors decide the portfolio to ivest by maximizig their utility fuctio. The optimal portfolio is located i the taget poit betwee efficiet frotier ad idifferece curve formed from the utility fuctio. Derigs & Marzba (2009) develops the mea-variace theory by imposig fiacial ratio requiremets, as costraits to adjust for the quatitative Islamic screeig criteria. I additio, Hazy et al. (2011) develops meavariace uder Islamic framework by imposig icome cleasig or purificatio to the equatio of portfolio s expected retur ad stadard deviatio. Oe way to evaluate portfolio performace is by examiig the rate of retur ad comparig it with other portfolios, which have similar characteristics. However, this could be better if the retur is adjusted to risk so that the port- 47

4 INDONESIAN CAPITAL MARKET REVIEW VOL.VII NO.1 Table 1. Summary Statistics Share Prices' Returs Mea Std. Dev. Miimum Maximum WEIR GKN MGGT BNZL PSN SHP CPI TLW ANTO SN. RR. AZN BG. AAL RIO AHT BAB SGE GFS ITV WPP VOD IMI TPK BDEV folios are truly comparable. The risk-adjusted retur portfolio performace measuremets are Sharpe s ratio, Treyor ratio, ad Jese s alpha (Bodie et al., 2009). I additio, usig differet kid of dataset, prior studies show differet results. For example, Hashim (2008) also fids that Islamic idex has better performace tha SRI idex. However, Girard & Hassa (2008) fid that there is o differet performace betwee Islamic ad o-islamic idex. Moreover they fid that there is similar reward to risk ad diversificatio beefit for both portfolios. Lastly, Hazy et al. (2011) fid that the efficiet frotier of Islamic portfolio outperforms for low risk, but uderperforms for high risk. Research Method The dataset cotais data from 101 compaies listed i Lodo Stock Exchage ad icluded i FTSE 100. The mothly adjusted stock prices, aual UK iterbak 6-moth (risk-free rate of retur), FTSE 100 price idex (market retur), icome statemet, ad balace sheet are geerated from Datastream. The use of 6-moth UK iterbak does ot violate shari ah clauses as log as the basic requiremets are beig complied, for example the screeig for shari ah stocks (Ayub, 2007). I additio, the data for aual iterest icome ad iterest expese are take from Bloomberg. Mothly stock prices are geerated from Jauary 1997 up to December 2007 to calculate retur employed for portfolio costructio. The aual fiacial ratios calculated from icome statemet ad balace sheet iformatio are applied for costraits i the Shari ah portfolio optimizatio. Moreover, stock prices at the ed of the year of 2008 util 2013 are used to evaluate the portfolio performace. The period of the study icludes the time of crisis so that its effect could be examied. 48

5 Asutay ad Hedraastiti For this study, two portfolios are costructed: Shari ah ad SRI portfolio. Qualitative screeig criteria based o FTSE Shariah Global Equity Idex Series Groud Rules are used to determie stocks icluded i Shari ah portfolio, while FTSE4Good Idex Iclusio Criteria are employed to determie stocks belogig to SRI portfolio. For the SRI portfolio, compaies classified as havig risk level of 3 for evirometal maagemet are excluded. After employig qualitative screeig criteria, the ext requiremets are examied. Compaies which do ot have stock price startig Jauary 1997 ad aual report edig i December are excluded. As a result, 21 stocks for Shari ah portfolio ad 50 stocks for SRI portfolio remaied. To costruct portfolio, 15 stocks were cosidered to be icluded i each type of portfolio. For Shari ah portfolio, those 21 stocks divided ito 3 parts based o market capitalisatio: small, medium, ad large capitalisatio ad 5 stocks selected from each category. For SRI portfolio, compaies which are classified as risk level 1 are selected first the followed by the risk level 2 compaies. Table 3.1 shows the list of the stocks. Markowitz (1952) itroduces the meavariace theory to costruct portfolio optimizatio. It is argued that mea or expected retur is desirable by ivestors, while variace of retur is ot desired by ivestors. Moreover, the objective ad costraits i costructig the portfolio are show i equatios from (1) to (4). Mi Variace = X i X j σ ij 1) Subject to: i=1 Expectedretur = X i µ i = targeted 2) i=1 X i = 1 3) i=1 X i 0, i = 1,2,3,, 4) where X i is weight of asset i,µ i is the retur of asset i, ad σ ij is covariace betwee asset i ad asset j. Derigs & Marzba (2009), as a extesio, impose quatitative criteria of Islamic screeig as costraits i costructig portfolio optimizatio show i equatio (5) to (9). j=1 r i (g) T(g), X i = 0 if r i = fiacial ratio, T = permissible threshold r i (g)>t(g) Z i = 1 if it is compliat 0 otherwise 6) Thus, the additioal costraits are: X i z i, r i (g).z i T(g) i = 1,2,3,, i = 1,2,3,, The ext step is determiig differet values of expected retur so that there are may portfolios, which the costruct miimum-variace set lie. The lie above miimum global variace is kow as efficiet frotier sice it has higher retur for the same risk. Havig the efficiet frotier, idifferece curve should be draw to determie the optimal portfolio, which is the itersectio poit betwee those two curves. This procedure is repeated for the followig years to determie the portfolio compositio ad examie the performace. I this research, fiacial ratios established by FTSE are used, sice it has more requiremets tha other istitutios ad it uses total assets as deomiator rather tha market value which represet the true value of compay. After costructig the portfolio optimizatio, the portfolio performace is examied. There are three portfolio performace measuremets used: Sharpe s ratio, Treyor ratio ad Jese s alpha. The reaso of usig these ratios for measurig shari ah portfolio performace is the same as usig 6-moth UK iterbak rate for the risk-free rate of retur metioed before. Sharpe s ratio idicates that portfolio with higher ratio value has higher excess retur by havig the same risk meaig that this portfolio has better performace. Treyor ratio idicates that portfolio with higher ratio value has higher excess retur by havig the same systematic risk meaig that this portfolio has better performace. As for Jese s alpha, portfolio which has positive Jese s alpha idicates that this portfolio could geerate abormal retur compared to retur calculated usig Capital Asset Pricig Model (CAPM) assumig that CAPM holds. 8) 9) 49

6 INDONESIAN CAPITAL MARKET REVIEW VOL.VII NO.1 Table 2. Macroecoomic Variables ad Defiitio Variable Defiitio Calculatio rshar Shari'ah portfolio retur rshar = X i µ i rsri SRI portfolio retur did Chage i Idustrial productio idex dexch Chage i Exchage rate ( /$) rsri = i 1 i 1 X i µ i did t = Id t Id t 1 dexch t = Exch t Exch t 1 duemp dterm diflatio dm1 doil Chage i Uemploymet rate Chage i Term structure Chage i Iflatio Chage i Moey supply Chage i Crude oil price duemp t = (Uemp t Uemp t 1 ) 100 dterm t = (LTGB t Tbill t ) (LTGB t 1 Tbill t 1 ) 12x100 diflatio t = (CPI t CPI t 1 ) CPI t 1 (CPI t 1 CPI t 2 ) CPI t 2 dm1 t = I(M1) t I(M1) t 1 doil t = I(Oil) t I(Oil) t 1 Notes: LTGB is Log-term Govermet Bod, CPI is Cosumer Price Idex Macroecoomic variables could be examied whether they have ay effect o the portfolio retur or ot. Based o the previous studies, multiple regressio usig Arbitrage Pricig Theory (APT) with ordiary least square procedure could be used to examie the macroecoomic effects (Brooks, 2002). Table 2 explais the variables ad their defiitio. Result ad Discussio I costructig the portfolio optimizatio, expected retur ad covariace matrix of the assets are estimated usig historical data. The first portfolio is costructed at the ed of year 2007 by usig historical data from Jauary 1997 util December After calculatig the expected retur ad covariace of the assets i the previous sectio, optimal portfolio could be obtaied. The ext procedure i the aalysis is to draw miimum-variace set, which cotais optimal portfolios. After obtaiig the efficiet frotier, idifferece curve is required to determie the portfolio preferred by ivestors. Havig all the data, optimal portfolio, which is preferred by ivestors could be determied. Sice the fiacial ratios chage every year, it is required to evaluate the portfolio compositio aually for Shari ah portfolio. I additio, the SRI portfolio is also evaluated aually by this study to examie the differet compositio with Shari ah portfolio. The procedure of portfolio optimizatio is coducted by obtaiig the miimum-variace set, through which establishig efficiet frotier, leadig to the estimatio of utility fuctio ad idifferece curve. This process is repeated from year 2008 to There is optimal portfolio each year for both Shari ah ad SRI portfolios. These portfolios are costructed from 15 assets, which the due to the optimizatio requiremets, the portfolios cosist of smaller 50

7 Asutay ad Hedraastiti Figure 1. Portfolio Compositio Shari ah Figure 2. Portfolio Compositio SRI umber of assets with its percetage. Figure 1 shows assets compositio of the Shari ah portfolio, while figure 2 demostrates the assets compositio of SRI portfolio. Figure 1 shows the differet portfolio compositio i every year. I year 2008, WEIR is ot icluded i the portfolio, because the ratio for iterest expese ad iterest icome exceeded the threshold. Moreover, SHP is also excluded, because it had debt ratio higher tha the required value. As ca be see, for year 2009, WEIR is icluded i the portfolio agai, be- 51

8 INDONESIAN CAPITAL MARKET REVIEW VOL.VII NO.1 Table 3. Portfolio Performace Shari'ah Beta Expected retur Stadard Deviatio Sharpe's Ratio Treyor Ratio Jese's Alpha SRI Beta Expected retur Stadard Deviatio Sharpe's Ratio Treyor Ratio Jese's Alpha Portfolio Performace cause the iterest expese ad iterest icome ratios did ot exceed the threshold. This is also true for SHP, which the debt ratio did ot surpass the required value. I additio, there are two stocks, BNZL ad SN, icluded i portfolio after the two previous years, had debt ratio higher tha the required. It should be oted that i year 2010, ANTO becomes part of portfolio after three years of absece, as it had cash ad short-term ivestmet to total asset ratio higher tha the threshold. I year 2012, TLW is icluded after the four previous years, as it had iterest expese to total reveue higher tha the required value. Figure 2 shows that the SRI portfolio compositio teds to be stable for five years. There is oly chage i compositio for WEIR ad PSN i certai years because whe they have the lowest retur amog all assets, they will ot be icluded i the portfolio. The ext procedure is to examie Sharpe s ratio, Treyor ratio ad Jese s alpha sice they are risk-adjusted performace measuremet. To calculate these ratios, mothly portfolio retur, market retur (FTSE100 retur), ad risk-free rate of retur (6-moth LIBOR) are eeded. Havig the data, aual ratio is calculated to evaluate the portfolio performace, which ca be foud i Table 3. Table 3 shows that Shari ah portfolio has beta value greater tha 1 for year 2008, 2011, 2012, ad 2013 meaig that this portfolio has higher volatility tha market. However, SRI portfolio always has beta value less tha oe meaig that this portfolio has less volatility tha market. Moreover, both portfolios have egative expected retur for year 2008, which the begis to icrease for the ext years. However, Shari ah portfolio has egative expected retur agai i year Table 3 also shows that Shari ah portfolio has higher risk tha SRI i 2008, show by the stadard deviatio. However, Shari ah portfolio has lower risk tha SRI portfolio for year 2009 ad 2010 eve though it turs to be higher agai i the followig three years. Table 3 also explais that both Shari ah ad SRI portfolios have egative value for Sharpe s ratio i year 2008 due to the egative value of expected retur from each portfolio. I additio, as ca be see, Shari ah portfolio performs better tha SRI portfolio i year 2008, 2009, ad 2010, because havig higher value for Sharpe s ratio meas that Shari ah portfolio has higher additioal retur for addig oe uit of total risk. However, it has a decreasig value i year 2011 ad 2012, far lower tha the SRI portfolio performace. It icreases i year 2013, but ot as high as the SRI ratio. As for Treyor ratio, Shari ah portfolio performs better tha SRI portfolio i year 2008, 2009 ad 2010, because it has higher value of Treyor ratio meaig that Shari ah portfolio has higher additioal retur for addig oe uit systematic risk. However, its value decreases i 52

9 Asutay ad Hedraastiti 2011 followed i 2012 eve though it bouces back i Meawhile, SRI portfolio has a relatively stable value for Treyor ratio for five years, although it has experieced decrease betwee 2009 ad As for Jese s alpha, both Shari ah ad SRI portfolios have positive alpha meaig that there is excess retur that is ot aticipated by the systematic risk. From 2008 to 2011, Shari ah portfolio has higher Jese s alpha tha SRI portfolio, but it decreases very steeply i year 2012 eve though it bouces back i year O the other had, SRI portfolio has relatively positive stable value of Jese s alpha for six years. I overall, Shari ah portfolio performs better i year 2008 util 2011, but it has the low value of ratios i year Lookig at the table 3, due to havig egative expected retur i 2012, it has low performace. This low performace could be due to the stocks composig the portfolio. Based o the figure 1, the stocks icluded are BNZL, PSN, SHP, TLW, SN, AZN, BG, ad RIO. The assets SHP, TLW, AZN, ad BG have decreasig price tred from year 2011 to The decreasig tred meas that those assets have egative rate of retur i Thus, it cotributes to the fact that the portfolio retur is egative. I oil sector, TLW ad BG s performaces were hampered as the oil prices fell gradually from May to November 2012 (Sjoli, 2012). The fall i 2012 preceded by decrease i 2011, which is ot caused by egative value of portfolio s expected retur like i year Based o the iformatio i figure 2, the portfolio compositio i 2011 cosists of WEIR, BNZL, PSN, ANTO, SN, AZN, ad BG. Lastly, Shari ah portfolio has demostrated a better performace i 2008, 2009 ad 2010, because some of the stocks i the portfolio have a good performace o those years. The aual compositio of stocks is depicted i figure 1. RIO had a icrease i share prices because there was a icrease i gold ad copper futures prices (Turer, 2010). Accordig to the aalysis above, it seems that macroecoomic variables, such as oil price, have a effect o the retur of stock prices. Sice these compaies work withi the larger macroeoomic coditios, it is very ormal that they are affected by the developmets i macroecoomy. To examie such effects, multiple regressio method usig Arbitrage Pricig Model (APT) is utilised with ordiary least square regressio procedure by esurig that there is o multicolliearity, autocorrelatio, ad heteroskedasticity (Brooks, 2002). Table 2 explais the variables ad their relevat defiitios. The regressio starts by calculatig the variables ad the lagged variables, as they may have a effect o the retur. The result shows that Shari ah portfolio retur at time t is affected by chage i oil price at time t, chage i iflatio at time t ad chage i idustrial productio at the previous period. The coefficiets imply that 1% chage i oil prices will lead to 16.45% icrease i Shari ah portfolio retur, 1% chage i iflatio will lead to % icrease i the retur ad 1% chage i idustrial productio idex i the previous period leads to 1.04% icrease i retur. The positive effect of oil price could be because some stocks i Shari ah portfolio are oil compaies, which implies that if the oil price decreases the the compaies have lower reveue ad it might affect the share prices. Moreover, ivestig i stocks is oe way to hedge iflatio meaig that if the prices decrease the people ted to ivest i stocks, vice versa (Che et al., 1986). However, the result shows that the relatioship is positive ad sigificat. It could idicate that ivestors presume that they will buy more stocks sice iflatio icreases meaig that there is a icrease i omial value of the compaies ad their reveue. The positive sig of chage i idustrial productio idex is based o that returs are based o the future cash flow, which depeds o future ecoomic coditios (Bilso et al., 2001). The result is supported by James et al. (1985) who report that curret stock returs are related to idustrial productio lagged by 2 moths. Moreover, the result also explais that SRI portfolio retur is oly iflueced by chage i oil price at time t. The coefficiet shows that 1% chage i oil prices will lead to 18.51% icrease i SRI portfolio retur. This positive effect could be because compaies icluded i 53

10 INDONESIAN CAPITAL MARKET REVIEW VOL.VII NO.1 SRI portfolio are able to offset the bad effect of oil price icrease with the good effect. I uderstadig the results, it is importat to state that based o figure 2, sice most of the compaies are busiess support services, which provide services eve i the coditio of icreasig oil prices where costs are risig as well. Coclusio Refereces To reiterate, this research aims to examie the effect of Islamic screeig criteria to the portfolio selectio ad performace by comparig it to SRI portfolio, which also has specific criteria to determie the ivestmets. The fidigs i this study coclude that Shari ah portfolio selectio ad performace were iflueced by the Islamic screeig criteria, which was show by the differece i the Shari ah portfolio compositio ad performace from SRI portfolio. Compositio of Shari ah portfolio could be from oil, miig, ad pharmaceuticals compaies, while SRI portfolio does ot allow those types of compaies to be icluded i the portfolio. I additio, there are some fiacial ratios which have to be fulfilled by Shari ah portfolio, while SRI portfolio does ot have such requiremets. This led to the result that Shari ah portfolio performs better i 2008, 2009, ad 2010, maily the fiacial crisis years, idicatig that Shari ah portfolio could be used to hedge the crisis. However, the portfolio returs were iflueced much by chage i oil prices sice the portfolio mostly comprised of oil ad miig compaies. I reflectig upo further research, it could be coducted by expadig the data sample, portfolio size ad time period so that a geeralised aalysis ca be developed i a robust maer. I additio, by expadig the time horizo, Gross Domestic Product ad Opeess Idex could be icluded, sice both data are available i quarterly which are ot suitable for this research. Regardig the methodology, more advace portfolio optimizatio ad coitegratio methods i examiig the macroecoomic variables effect could be employed to obtai broader result ad aalysis. Ayub, M. (2007). Uderstadig Islamic Fiace. Chichester: Joh Wiley & Sos Ltd. Bilso, C. M., Brailsford, T. J., & Hooper, V. J. (2001). Selectig macroecoomic variables as explaatory factors of emergig stock market returs. Pacific-Basi Fiace Joural, 9(4), Bodie, Z., Kae, A., & Marcus, A. (2009). Ivestmets Iteratioal Editio 8th ed. Sigapore: McGraw-Hill Irwi. Brooks, C. (2002). Itroductory ecoometrics for fiace 1st ed. Cambridge: Cambridge Uiversity Press. Che, N. F., Roll, R., & Ross, S. A. (1986). Ecoomic forces ad the stock market. Joural of Busiess, Derigs, U., & Marzba, S. (2008). Review ad aalysis of curret Shariah-compliat equity screeig practices. Iteratioal Joural of Islamic ad Middle Easter Fiace ad Maagemet, 1(4), Ghoul, W., & Karam, P. (2007). MRI ad SRI mutual fuds: A compariso of christia, islamic (morally resposible ivestig), ad socially resposible ivestig (SRI) mutual fuds. The Joural of Ivestig, 16(2), Girard, E. C., & Hassa, M. K. (2008). Is there a cost to faith-based ivestig: evidece from FTSE Islamic idices. The Joural of Ivestig, 17(4), Hashim, N. (2008). The FTSE global Islamic ad the risk dilemma. AIUB Busiess ad Ecoomics Workig Paper Series, ( ). Hazy, M. H., Hashim, H. M., & Yusof, A. Y. (2012). Revisitig Markowitz's Mea Variace aalysis: A review from shariah perspective. I Statistics i Sciece, Busiess, ad Egieerig (ICSSBE), 2012 Iteratioal Coferece o (pp. 1-6). IEEE. James, C., Koreisha, S., & Partch, M. (1985). A VARMA aalysis of the causal relatios amog stock returs, real output, ad omial iterest rates. The Joural of Fiace, 40(5), Kahf, Mozer. (2009). Prohibitio of Riba i the Islamic Ecoomic System. Ecyclo- 54

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