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Calendar Month Effect in Bursa Malaysia: A Comparison between Shariah-Compliant Portfolio and Non-Shariah- Compliant Portfolio

Author

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  • Hani Nuri Rohuma

    (Faculty of Economics, University of Benghazi, Benghazi, Libya,)

  • Pradeep Brijlal

    (Faculty of Commerce, University of Cape Town, South Africa.)

Abstract

This research examines whether the return of the Shariah-compliant portfolio (SCP) relative to the non-Shariah-compliant portfolio (NSCP) is subject to any calendar month effect on Bursa Malaysia over 12 years. The non-Shariah-compliant stocks were selected rather than conventional stocks to ensure that all stocks were completely independent since the Shariah-compliant stocks are part of the conventional stocks. A new portfolio (SCP NSCP) that represented the monthly difference return between the SCP and NSCP was constructed, and by employing the robust standard errors regression, the results indicated that, after applying the Capital Asset Pricing Model (CAPM) with dummy variables, only in June, the return of SCP significantly outperform the return of NSCP. However, the existence of this calendar month anomalies between the SCP and NSCP will raise questions about the efficiency of Bursa Malaysia.

Suggested Citation

  • Hani Nuri Rohuma & Pradeep Brijlal, 2023. "Calendar Month Effect in Bursa Malaysia: A Comparison between Shariah-Compliant Portfolio and Non-Shariah- Compliant Portfolio," International Journal of Economics and Financial Issues, Econjournals, vol. 13(2), pages 12-17, March.
    • Handle: RePEc:eco:journ1:2023-02-2
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Shariah; Portfolio; Calendar Month effect; Malaysia; CAPM;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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