Performance & Risk of Islamic Principle-Oriented Firms: A Case Study of the Stock Exchange of Thailand
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Abstract
This study aims to observe performance and risk of common stocks between two groups—Islamic principle-oriented firms and conventional firms—in the Stock Exchange of Thailand. This study examines data from the highest 50 firms in each group from 22 April 2009 to 20 December 2016 by constructing Market Capitalization Portfolio and Equal Weighted Portfolio and analyzing daily stock in each group. Results show that both portfolios have not significant difference in average stock return in both groups. For Market Capitalization Portfolio, however, Sharpe Ratio of conventional firms is higher than Islamic principle-oriented firms; while, for Equal Weighted Portfolio, Treynor Ratio and Jensen Alpha of conventional firms are still higher than the other. Results also show that Price to Book Value (PBV) of Islamic principle-oriented firms more positively affect stock return than conventional firms.
Article Details
เนื้อหาและข้อมูลในบทความที่ลงตีพิมพ์ในวารสารสภาวิชาชีพบัญชี ถือเป็นข้อคิดเห็นและความรับผิดชอบของผู้เขียนบทความโดยตรงซึ่งกองบรรณาธิการวารสารไม่จำเป็นต้องเห็นด้วยหรือร่วมรับผิดชอบใด ๆ
บทความ ข้อมูล เนื้อหา รูปภาพ ฯลฯ ที่ได้รับการตีพิมพ์ในวารสารสภาวิชาชีพบัญชี ถือเป็นลิขสิทธิ์ของวารสารสภาวิชาชีพบัญชี หากบุคคลหรือหน่วยงานใดต้องการนำข้อมูลทั้งหมดหรือบางส่วนไปเผยแพร่ต่อหรือเพื่อกระทำการใดๆ จะต้องได้รับอนุญาตเป็นลายลักษณ์อักษรจากวารสารสภาวิชาชีพบัญชี ก่อนเท่านั้น
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