Hassan Sobhani; Majid Habibian Nagibi
Volume 17, Issue 52 , October 2012, , Pages 115-141
Abstract
Risk and benefit are key concepts of capital market. This issue has been studied sufficiently in various models of the conventional literature, with all its advantages and disadvantages. Islamic capital market often faces with new instrument. Thus, risk management in its discussions suffers from noticeable ...
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Risk and benefit are key concepts of capital market. This issue has been studied sufficiently in various models of the conventional literature, with all its advantages and disadvantages. Islamic capital market often faces with new instrument. Thus, risk management in its discussions suffers from noticeable poverty. Sukuk Manfe'ah (benefit securities) is one of the latest instruments for Islamic capital market. This paper assumes the readers are familiar with the nature of sukuk manfe'ah (benefit securities), so it explains the risks in this market and the sides who take that. Then this paper tries to analysis the risk and the benefit of the sukuk manfe'ah (benefit securities) according to the capital asset pricing model (CAPM). Undoubtedly, the main role of this paper in knowkedge production, is to use the capital asset pricing model (CAPM) in Islamic capital market, which so far is unprecedented.
Abbas Rezaei Pandari; Adel Azar; Alireza Rayati Shavazi
Volume 16, Issue 48 , October 2011, , Pages 109-134
Abstract
Generally, investors consider simultaneously conflicting objectives such as rate of return, risk and liquidity in portfolio selection. On the other hand, every investor has his own specific preferences about objectives. Therefore, we can use Multi Objective Decion Making (MODM) techniques in order to ...
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Generally, investors consider simultaneously conflicting objectives such as rate of return, risk and liquidity in portfolio selection. On the other hand, every investor has his own specific preferences about objectives. Therefore, we can use Multi Objective Decion Making (MODM) techniques in order to solve portfolio selection problem. The Studies shows that a MODM technique by nonlinear goals such as minimization of nonsystematic risk and skewness maximization isn’t employed for portfolio selection, so a new approach is applied. We employ MODM model to select a best portfolio in 50 superior companies in Tehran stock exchange with regards to optimization objectives of return, systematic risk, nonsystematic risk, skewness, liquidity and sharp ratio. This model is non-convexed, so operational research algorithms can not find the best solution; therefore we use Genetic Algorithms (GA) for achieving nonlinear multi-objective model. In the end, the result of GA is comprised with Markwitz classic model and goal programming (containing linear and nonlinear objectives). The comparison indicates that although return of the portfolio of GA model is less than the other models, but GA has the best results in decreasing risk criteria which completely cover the return and lead to best results. The other advantage of using GA is a higher diversification in its proposed portfolio in comparison with other models.
Gholamreza Keshavarz Haddad; Seyed Babak Ebrahimi; Akbar Jafar Abadi
Volume 16, Issue 47 , July 2011, , Pages 129-162
Abstract
Long memory in asset returns and volatilities is a new research area, both in theoretical and empirical modeling of high frequent financial time series. The most popular techniques of time series modeling with long memory is the ARFIMA-FIGARCH, but this fractionality in the integration of time series ...
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Long memory in asset returns and volatilities is a new research area, both in theoretical and empirical modeling of high frequent financial time series. The most popular techniques of time series modeling with long memory is the ARFIMA-FIGARCH, but this fractionality in the integration of time series modeling has not been extended to the Multivariate GARCH models yet. The present paper aims to extend the BEKK’s MGARCH models to take into account the presence of long memory in daily financial time series. Although the proposed procedure is highly non-linear in the fractionality parameters with a serious computational burden, it estimates all the parameters of mean and variance equations in a nonlinear framework and finds a unique solution, by numerical optimization procedures. In the empirical part of the paper a multivariate FIGARCH is used to check the transmission of volatility among the automobile industry, machinery leasing and equipment indices in the Tehran Stock Exchange. The results confirm the existence of short memory in both conditional means and conditional variances, and moreover the magnitude of estimated d parameter is remarkably different from those of resulted from GPH and single ARFIMA-FIGARCH. Empirical findings of the MFIGARCH specification were compared with those of BEKK, and the comparison shows that MFIGARCH estimations are consistent with theoretical considerations. Moreover, our findings confirm the presence of lead and lag effects and information flow between the returns and volatilities of automobile industries and machinery leasing stock prices, and a multilateral information transmission from machinery leasing’s stock towards the Auto industry and machinery parts manufacturing share prices is observed.
