Modelling the Return of Shariah with Underlying Indices of National Stock Exchange of India: A Case of 3SLS and GMM Estimation

Journal of Emerging Economies and Islamic Research, 4(2): 1-15

15 Pages Posted: 6 Jun 2016

See all articles by Saif Siddiqui

Saif Siddiqui

Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi, India

Safika Sheikh

Jamia Millia Islamia (A Central University), Students

Date Written: June 4, 2016

Abstract

Shariah indices can be used to construct socially reliable investment products that are attractive for those, who do not wish to invest in undesired business. National Stock Exchange of India introduced Nifty 50 Shariah and Nifty 500 Shariah indices to provide alternative indices for Shariah compliant companies. The study is an attempt to reveal the relationship between Nifty 50 Shariah and Nifty 500 Shariah with their underlying indices, Nifty 50 and Nifty 500.For this purpose a period of 01/01/2007 to 31/12/2015 is taken. Based on various objectives, techniques like Descriptive statistics, Correlation, Co-integration test, 3SLS and GMM estimation are used.

It is concluded that return of Shariah Indices are better and risk is lesser, than underlying indices. These indices are the better option for portfolios.

Keywords: NSE; Shariah Indices; 3SLS; GMM

Suggested Citation

Siddiqui, Saif and Sheikh, Safika, Modelling the Return of Shariah with Underlying Indices of National Stock Exchange of India: A Case of 3SLS and GMM Estimation (June 4, 2016). Journal of Emerging Economies and Islamic Research, 4(2): 1-15 , Available at SSRN: https://ssrn.com/abstract=2790264

Saif Siddiqui (Contact Author)

Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi, India ( email )

New Delhi
New Delhi, Delhi 110025
India

Safika Sheikh

Jamia Millia Islamia (A Central University), Students ( email )

New Dehli
India

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
68
Abstract Views
465
rank
426,396
PlumX Metrics