Purpose

This paper aims to undertake a comprehensive comparative analysis of Sharīʿah-compliant equity investments (SCEIs) and their non-Sharīʿah counterparts, in India, conditioning for investment horizon and market volatility. Indirectly, it also investigates for time varying performance of SCEIs, and explicitly analyses the unsystematic risk and related adequacy of returns.

Design/methodology/approach

Testing for statistical significance of differences in risks and returns; analysing portfolio performance using conventional metrics, information ratio, and Jensen's Alpha; Estimating returns due to stock selection and market timing using Fama’s Net Selectivity and Treynor and Mazuy’s Models.

Findings

SCEIs in India do not significantly differ in their total risks and returns compared to their conventional counterparts. While their risk is lower in the monthly and quarterly investment horizons, their Jensen’s Alphas are positive only in the annual investment horizons. These findings hold, when market volatility is low. Market timing wipes out the superior returns that exist due to stock selection in SCEIs.

Research limitations/implications

Being Sharīʿah-compliant is beneficial only in longer investment horizons. Asset selection, not co-movement with the market, is key to excess returns to compensate for risks due to inadequate diversification. However, only cautious market timing can conserve them.

Practical implications

Though investors are not better-off in choosing ethical investments, they are not worse-off either. Being Sharīʿah-compliant is rewarding during less volatile markets.

Originality/value

This paper extends international literature on SCEIs, with evidence on the impact of investment horizon and market volatility on their returns and risks. Further, this paper is also a comprehensive analysis of Indian SCEIs, broadening the empirical evidence on a significant, non-Islamic and emerging market.

中文翻译：

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在股权投资中遵守伊斯兰教法：投资期限和市场波动的影响

目的

本文旨在对印度符合伊斯兰教义的股权投资 (SCEI) 及其非伊斯兰教义的股权投资进行全面的比较分析，以适应投资期限和市场波动。间接地，它还调查了 SCEI 随时间变化的表现，并明确分析了非系统性风险和相关的回报充足性。

设计/方法/方法

检验风险和回报差异的统计显着性；使用传统指标、信息比率和 Jensen's Alpha 分析投资组合绩效；使用 Fama 的 Net Selectivity 以及 Treynor 和 Mazuy 的模型估计由于股票选择和市场时机引起的回报。

发现

与传统同行相比，印度的 SCEI 在总风险和回报方面没有显着差异。虽然他们在月度和季度投资范围内的风险较低，但他们的 Jensen's Alpha 仅在年度投资范围内为正。当市场波动率较低时，这些发现成立。市场时机消除了由于 SCEI 中的股票选择而存在的优越回报。

研究限制/影响

遵守伊斯兰教法仅在较长的投资期限内才有好处。资产选择，而不是与市场的联动，是获得超额回报的关键，以弥补因多元化不足而导致的风险。然而，只有谨慎的市场时机才能保护它们。

实际影响

尽管投资者在选择道德投资方面并没有变得更好，但他们也没有变得更糟。在波动较小的市场中，遵守伊斯兰教法是有益的。

原创性/价值

本文扩展了关于 SCEI 的国际文献，并提供了关于投资期限和市场波动对其回报和风险的影响的证据。此外，本文还对印度 SCEI 进行了综合分析，拓宽了重要的非伊斯兰新兴市场的实证证据。