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Constructing Fama–French Factors from Style Indices: Evidence from the Islamic Equity Market

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  • Shahrin Saaid Shaharuddin
  • Wee-Yeap Lau
  • Rubi Ahmad

Abstract

This study has contributed to the analysis of the Fama–French three-factor model by proving the validity of model using the newly constructed Fama–French factors from Malaysian Islamic stock market. With generalized method of moments and robustness tests, our results compliment earlier studies by comparing the results over two sub-periods, before and after the financial crises and the fall of Lehman Bros. The results of the analysis suggest that the reversal of size effects exists after periods of financial crisis. This is the first attempt to create FF factors and test the model from Islamic equity style indices.

Suggested Citation

  • Shahrin Saaid Shaharuddin & Wee-Yeap Lau & Rubi Ahmad, 2017. "Constructing Fama–French Factors from Style Indices: Evidence from the Islamic Equity Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(7), pages 1563-1572, July.
    • Handle: RePEc:mes:emfitr:v:53:y:2017:i:7:p:1563-1572
    DOI: 10.1080/1540496X.2016.1278529
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    Cited by:

    1. Shahrin Saaid Shaharuddin & Wee-Yeap Lau & Tien-Ming Yip, 2017. "Dynamic Linkages between Newly Developed Islamic Equity Style Indices: Is Growth Style More Influential Than Value Style?," Capital Markets Review, Malaysian Finance Association, vol. 25(2), pages 49-64.
    2. Jasman Tuyon & Zamri Ahmad, 2018. "Behavioural Asset Pricing Determinants in a Factor and Style Investing Framework," Capital Markets Review, Malaysian Finance Association, vol. 26(2), pages 32-52.

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