Investment strategies with rebalancing: How could they serve Sukuk secondary market?

Borsa Istanbul Review - Tập 18 - Trang 91-100 - 2018
Rida Ahroum1, Othmane Touri1, Fatima-Zahra Sabiq1, Boujemâa Achchab1
1Ecole Superieure de Technologie de Berrechid (ESTB), B.P:218 Berrechid, Morocco

Tài liệu tham khảo

Afshar, 2013, Compare and contrast Sukuk (Islamic Bonds) with conventional bonds, are they compatible?, Journal of Global Business Management, 9, 44 Ahmad, 2012, Economic forces and the Sukuk market, Procedia-social and Behavioral Sciences, 65, 127, 10.1016/j.sbspro.2012.11.101 Ahmed, 2010, Islamic finance at a crossroads: The dominance of the asset-based Sukuk, Butterworth's Journal of International Banking and Financial Law, 25, 366 Al-Amine, 2008, Sukuk market: Innovations and challenges, Islamic Capital Markets, 33 AL-Hersh, 2014 Aliyu, 2016, Islamic banking sustainability: A review of literature and directions for future research, Emerging Markets Finance and Trade, 10.1080/1540496X.2016.1262761 Amihud, 2006, Liquidity and asset prices, Foundations and Trends® in Finance, 1, 269, 10.1561/0500000003 Ariffin, 2012, Liquidity risk management and financial performance in Malaysia: Empirical evidence from islamic banks, Aceh International Journal of Social Science, 1 Ariff, 2015, Valuation of Islamic debt instruments, the Sukuk: Lessons for market development, Islamic Banking and Finance–Essays on Corporate Finance, Efficiency and Product Development, 1 Arnott, 2005, Fundamental indexation, Financial Analysts Journal, 83, 10.2469/faj.v61.n2.2718 Arnott, 1993, Rebalancing: Why? when? how often?, The Journal of Investing, 2, 5, 10.3905/joi.2.1.5 Aziz, 2009, Equity-based, asset-based and asset-backed transactional structures in Shari'a-compliant financing: Reflections on the current financial crisis, Economic Papers: A Journal of Applied Economics and Policy, 28, 270, 10.1111/j.1759-3441.2009.00035.x Barberis, 2000, Investing for the long run when returns are predictable, The Journal of Finance, 55, 225, 10.1111/0022-1082.00205 Bernstein, 2007 Bernstein, 1997 Blitz, 2007, The volatility effect, The Journal of Portfolio Management, 34, 102, 10.3905/jpm.2007.698039 Buetow, 2002, The benefits of rebalancing, The Journal of Portfolio Management, 28, 23, 10.3905/jpm.2002.319829 Cakir, 2007, 1 Choueifaty, 2008, Toward maximum diversification, The Journal of Portfolio Management, 35, 40, 10.3905/JPM.2008.35.1.40 Choueifaty, 2013, Properties of the most diversified portfolio, Journal of Investment Strategies, 2, 49, 10.21314/JOIS.2013.033 Clare, 2013 Clare, 2013 DeMiguel, 2009, Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?, Review of Financial Studies, 22, 1915, 10.1093/rfs/hhm075 Dichtl, 2014, Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies, Financial Markets and Portfolio Management, 28, 209, 10.1007/s11408-014-0231-3 Dow Jones Sukuk Total Return Index (ex-Reinvestment) Methodology, 2016 Fernandez-Rodrıguez, 2000, On the profitability of technical trading rules based on artificial neural networks: Evidence from the Madrid stock market, Economics Letters, 69, 89, 10.1016/S0165-1765(00)00270-6 FTSE Global Equal Risk Contribution Index Series, 2016 Godlewski, 2010 Godlewski, 2013, Sukuk vs. conventional bonds: A stock market perspective, Journal of Comparative Economics, 41, 745, 10.1016/j.jce.2013.02.006 Godlewski, 2016, Do the type of Sukuk and choice of Shari'a scholar matter?, Journal of Economic Behavior & Organization, 132, 63, 10.1016/j.jebo.2016.04.020 Godlewski, 2011 Hallerbach, 2014, Disentangling rebalancing return, Journal of Asset Management, 15, 301, 10.1057/jam.2014.29 Hallerbach, 2015, Advances in portfolio risk control, 1 Harvey, 2012 Haugen, 1991, The efficient market inefficiency of capitalization-weighted stock portfolios, The Journal of Portfolio Management, 17, 35, 10.3905/jpm.1991.409335 Hsu, 2006, Cap-weighted portfolios are sub-optimal portfolios, Journal of Investment Management, 4, 1 Jobst, 2008, Islamic bond issuance: What sovereign debt managers need to know, International Journal of Islamic and Middle Eastern Finance and Management, 1, 330, 10.1108/17538390810919637 Maillard, 2010, The properties of equally weighted risk contribution portfolios, The Journal of Portfolio Management, 36, 60, 10.3905/jpm.2010.36.4.060 Markowitz, 1952, Portfolio selection, The Journal of Finance, 7, 77 Masih, 2016, Issues in islamic equities: A literature survey, Emerging Markets Finance and Trade Masters, 2003, Rebalancing, The Journal of Portfolio Management, 29, 52, 10.3905/jpm.2003.319883 Mseddi, 2013, Rating methodology and evaluating the issuer of Sukuk, International Journal of Management Science and Engineering Management, 8, 262, 10.1080/17509653.2013.829629 Naifar, 2017, Do regional and global uncertainty factors affect differently the conventional bonds and Sukuk? New evidence, Pacific-Basin Finance Journal, 41, 65, 10.1016/j.pacfin.2016.12.004 Najeeb, 2016, Does a held to-maturity strategy impede effective portfolio diversification for Islamic bond (Sukuk) portfolios? A multi-scale continuous wavelet correlation analysis, Emerging Markets Finance and Trade Nanaeva, 2010 Nursilah, 2013 Qian, 2005, Risk parity portfolios: Efficient portfolios through true diversification of risk, Panagora Asset Management Qian, 2006, On the financial interpretation of risk Contribution: Risk budgets do add up, Journal of Investment Management, 4, 1 Reboredo, 2017, Do islamic bond (Sukuk) prices reflect financial and policy uncertainty? A quantile regression approach, Emerging Markets Finance and Trade, 53, 1535, 10.1080/1540496X.2016.1256197 Roncalli, 2013 Said, 2013, The determinants of Sukuk market Development: Does macroeconomic factors influence the construction of certain structure of Sukuk?, Journal of Applied Finance & Banking, 3, 251 Shafi, 2013 Sharpe, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance, 19, 425 Shiryaev, 2008, Thou shalt buy and hold, Quantitative Finance, 8, 765, 10.1080/14697680802563732 Siddiqui, 2008 Smaoui, 2016, The determinants of Sukuk market development, Emerging Markets Finance and Trade Smaoui, 2017, Does Sukuk market development spur economic growth?, Research in International Business and Finance, 41, 136, 10.1016/j.ribaf.2017.04.018 Tariq, 2007, Risks of Sukuk structures: Implications for resource mobilization, Thunderbird International Business Review, 49, 203, 10.1002/tie.20140 Tasche, 2007 Thomson Reuters Sukuk Perceptions & Forecast Study 2017: Poised for Growth, 2016 Usmani, 2007, Sukuk and their contemporary applications Warsame, 2016, Does the theory of planned behaviour (TPB) matter in Sukuk investment decisions?, Journal of Behavioral and Experimental Finance, 12, 93, 10.1016/j.jbef.2016.10.002 Willenbrock, 2011, Diversification return, portfolio rebalancing, and the commodity return puzzle, Financial Analysts Journal, 67, 42, 10.2469/faj.v67.n4.1 Wilson, 2004, 6 Wilson, 2008, Innovation in the structuring of Islamic Sukuk securities, Humanomics, 24, 170, 10.1108/08288660810899340 Yean, 2009, Sukuk: Issues and the way forward, International Legal News, 6, 1 Zulkhibri, 2015, A synthesis of theoretical and empirical research on Sukuk, Borsa Istanbul Review, 15, 237, 10.1016/j.bir.2015.10.001