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The conditional CAPM and cross-sectional evidence of return and beta for Islamic Unit Trust in Malaysia


Ismail, Abd Ghafar and Shakrani, Mohd Saharudin (2003) The conditional CAPM and cross-sectional evidence of return and beta for Islamic Unit Trust in Malaysia. IIUM Journal of Economics and Management, 11 (1). pp. 1-30. ISSN 1394-7680

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Abstract

The aim of this paper is to investigate the relationship between return and beta for Islamic unit trusts using the cross-sectional regression analysis. The estimation of return and beta without differentiating between positive and negative excess market returns produces a flat unconditional relationship between return and beta. Using the conditional CAPM and cross-sectional regression analysis, the evidence in this paper tends to support a significant positive relationship in an up-market and a significant negative relationship in a down-market. This paper suggests that beta could be used as a tool in explaining cross-sectional differences in Islamic unit trusts returns and as a measure of market risk. Based on the adjusted-R and standard error of the conditional relationship between returns we find that beta is higher in a downmarket than in an up-market. Therefore, both statistics are appropriate measurements of conditional relationships.

Item Type: Article
Uncontrolled Keywords: Asset pricing; Cross-sectional models; Islamic unit trusts
Subjects: B Philosophy. Psychology. Religion > BP Islam. Bahaism. Theosophy, etc
H Social Sciences > HG Finance
Divisions: College of Arts and Sciences
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 15 Feb 2012 00:31
Last Modified: 15 Feb 2012 00:31
URI: http://repo.uum.edu.my/id/eprint/3867

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