Record Details

THE CONDITIONAL CAPM AND CROSS-SECTIONAL EVIDENCE OF RETURN AND BETA FOR ISLAMIC UNIT TRUSTS IN MALAYSIA

International Journal of Economics, Management and Accounting

View Archive Info
 
 
Field Value
 
Title THE CONDITIONAL CAPM AND CROSS-SECTIONAL EVIDENCE OF RETURN AND BETA FOR ISLAMIC UNIT TRUSTS IN MALAYSIA
 
Creator Ismaila, Abd. Ghafar; Associate Professor of Banking and Financial Economics, Faculty of Economics, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor Darul Ehsan, Malaysia. (e-mail: agibab@pkrisc.cc.ukm.my)
Shakranib, Mohd. Saharudin; Lecturer in Islamic Economics, Universiti Utara Malaysia, 06010 Sintok, Kedah Darul Aman, Malaysia.
 
Description The aim of this paper is to investigate the relationship between return and beta for Islamic unit trusts using the cross-sectional regression analysis. The estimation of return and beta without differentiating between positive and negative excess market returns produces a flat unconditional relationship between return and beta. Using the conditional CAPM and cross-sectional regression analysis, the evidence in this paper tends to support a significant positive relationship in an up-market and a significant negative relationship in a down-market. This paper suggests that beta could be used as a tool in explaining cross-sectional differences in Islamic unit trusts’ returns and as a measure of market risk. Based on the adjusted-R2 and standard error of the conditional relationship between returns we find that beta is higher in a down-market than in an up-market. Therefore, both statistics are appropriate measurements of conditional relationships. JEL classification: G1, C2Key words: Asset pricing; Cross-sectional models; Islamic unit trusts
 
Publisher Kulliyyah of Economics and Management Sciences
 
Contributor —
 
Date 2013-02-28
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://journals.iium.edu.my/enmjournal/index.php/enmj/article/view/84
 
Source International Journal of Economics, Management and Accounting; Vol 11, No 1 (2003)
 
Language eng
 
Relation http://journals.iium.edu.my/enmjournal/index.php/enmj/article/view/84/67