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This paper aims to examine the performance of Islamic and conventional stocks listed at the Pakistan Stock Exchange by using both parametric and non-parametric approaches. The motivation is to do risk-return analysis of Islamic stock prices and conventional stock prices.

It uses various measures of performance, e.g. Sharpe ratio, Treynor ratio, Jensen's alpha, beta, generalized auto-regressive conditional heteroskedasticity and stochastic dominance. Using the Karachi Meezan Index-30 (KMI-30) and the Karachi Stock Exchange Index-30 (KSE-30) as proxies for Islamic and conventional stock prices, respectively, it examines the performance of Islamic and conventional stocks. The daily data of KMI-30 and KSE-30, covering period from June 9, 2009 to June 20, 2020 are used.

The results show that the overall KMI-30 outperforms the KSE-30. The returns of the KMI-30 are greater than the KSE-30. However, the risk and volatility of the KMI-30 and KSE-30 are similar. Further, the KMI-30 has higher excess returns per unit of total risk than the KSE-30. But both indexes have similar excess returns per unit of systematic risk. Moreover, the KMI-30 returns have stochastically dominance over the KSE-30 returns. These results reveal that the Islamic index performs better than the conventional index.

The findings provide several practical implications in financial and investment decisions making by investors, managers and policymakers such as strategies for asset allocation and investment. Further, in risk management, it provides guidance for allocating portfolios and managing risk. The investment in Islamic stocks may mitigate potential risk within asset portfolios.

This research is unique in its approach to the analysis of the performance comparison of conventional and Islamic stock by using comprehensive parametric and non-parametric estimation techniques. Such research has not been undertaken in the Pakistan's equity market since.

This paper aims to develop a ranking methodology for the companies included in the Islamic indices in Turkey. Thus, this paper simplifies the decision-making process for investors with Islamic sensitivities to stock market investment when constructing their investment portfolio.

This paper uses a case study of 20 companies listed on Borsa Istanbul, drawing data from their 2017, 2018 and 2019 financial reports. These companies are scored and ranked according to their compatibility with the screening criteria used by Ziraat Katilim index in Turkey. In addition, this paper uses the quantitative screening process to calculate the ranking scores of these companies.

The findings show that some companies are highly compatible with the screening criteria, with ranking scores close to 100 points. However, some companies satisfied the criteria on the margin. This may not be a desirable result for some investors.

Only 20 companies are included in the analysis. Since the conventional accounting system is used in Turkey, it was difficult to get exact information about the companies’ Sharīʿah compatibility from the financial results.

The findings assist investors to determine which company is ethically more responsible than others within the Islamic framework. There are also implications for the companies in question, index providers and Sharīʿah scholars.

The findings aim to simplify the decision-making process of investors who have Islamic sensitivities to stock exchange market investment when they constitute their portfolio.

To the best of the authors’ knowledge, it is one of the first attempts to develop a ranking methodology for Sharīʿah-screened stocks in Turkey even though Sharīʿah screening has been on the agenda since the late 1990s. This paper also compares 11 indices based on their screening criteria.

The purpose of this paper is to predict the daily accuracy improvement for the Jakarta Islamic Index (JKII) prices using deep learning (DL) with small and big data of symmetric volatility information.

This paper uses the nonlinear autoregressive exogenous (NARX) neural network as the optimal DL approach for predicting daily accuracy improvement through small and big data of symmetric volatility information of the JKII based on the criteria of the highest accuracy score of testing and training. To train the neural network, this paper employs the three DL techniques, namely Levenberg–Marquardt (LM), Bayesian regularization (BR) and scaled conjugate gradient (SCG).

The experimental results show that the optimal DL technique for predicting daily accuracy improvement of the JKII prices is the LM training algorithm based on using small data which provide superior prediction accuracy to big data of symmetric volatility information. The LM technique develops the optimal network solution for the prediction process with 24 neurons in the hidden layer across a delay parameter equal to 20, which affords the best predicting accuracy based on the criteria of mean squared error (MSE) and correlation coefficient.

This research would fill a literature gap by offering new operative techniques of DL to predict daily accuracy improvement and reduce the trading risk for the JKII prices based on symmetric volatility information.

This research is the first that predicts the daily accuracy improvement for JKII prices using DL with symmetric volatility information.

This study aims to comparatively analyze the systematic, idiosyncratic and downside risk exposure of both Islamic and conventional funds in Pakistan to see which of the funds has higher risk exposure.

The study analyzes different types of risks involved in both Islamic and conventional funds for the period from 2009 to 2016 by using different risk measures. For systematic and idiosyncratic risk single factor CAPM and multifactor models such as Fama French three factors model and Carhart four factors model are used. For downside risk analysis different measures such as downside beta, relative beta, value at risk and expected short fall are used.

The study finds that Islamic funds have lower risk exposure (including total, systematic, idiosyncratic and downside risk) compared with their conventional counterparts in most of the sample years, and hence, making them appear more attractive for investment especially for Sharīʿah-compliant investors preferring low risk preferences.

As this study shows, Islamic mutual funds exhibit lower risk exposure than their conventional counterparts so investors with lower risk preferences can invest in these kinds of funds. In this way, this research provides the input to the individual investors (especially Sharīʿah-compliant investors who want to avoid interest based investment) to help them with their investment decisions as they can make a more diversified portfolio by considering Islamic funds as a mean for reducing the risk exposure.

To the best of the author’s knowledge, this study is the first attempt at world level in looking at the comparative risk analysis of various types of the risks as follows: systematic, idiosyncratic and downside risk, for both Islamic and conventional funds, and thus, provides significant contribution in the literature of mutual funds.

The purpose of this study is to examine the impact of corporate governance (CG) on intellectual capital efficiency (ICE) in Islamic banks (IBs) of Organisation of Islamic Cooperation (OIC) countries.

A sample of 129 IBs is drawn from the 29 OIC countries from 2008 to 2017. A two-step system of the generalised method of moments has been employed to account for the unobserved endogeneity and heteroscedasticity issue that arose due to time-variant and time-invariant variables.

The results revealed that CG measures, namely board size, non-executive directors do explain the extent and quality of ICE in the expected direction. In contrast, CEO duality, Shariah board and audit committee are negatively associated with the ICE. Moreover, the authors observed that male CEO in IBs has negative, but foreign ownership has a positive association with ICE in determining the extent of ICE in IBs. This study contributes specifically to the stakeholder theory and the literature of ICE and CG.

The findings of the study provide insight into how a larger board can overcome skill deficiency and how making more investment in ICE would help to enhance productivity. Hence, bank managers, regulators, policymakers and shareholders have strong interest in designing the appropriate CG structure to develop ICE in banks.

This is one of the few studies which provide empirical evidence of CG mechanism to boost the ICE in the perspective of IBs of the OIC countries.

This paper aims to measure investors' perception of the rights issue announcement of publicly listed companies in five stock markets of Islamic countries. Then, these firms are grouped according to their debt level to examine whether abnormal returns are different from those that are highly leveraged. Moreover, Sharīʿah compatibility of firms is checked to understand if return anomaly shows different behaviour around rights issue announcement days.

The analysis period includes the years 2010–2019, which includes 362 rights issue announcements. The event study methodology is applied to measure the level of impact that is triggered by the rights issue announcements. Hereafter, one-way ANOVA test is performed to identify whether there exists a difference among the sample groups according to their debt level.

Findings suggest that rights issue announcements cause −3.90% fall in share prices on average for the whole sample. However, negative abnormal return is found significant only in Egypt and Turkey. Individual regression analysis results suggest that an increase in debt level worsens the return anomaly only in Egypt. This refers that the rights issue announcement is perceived as less favourable for highly leveraged companies compared to others in this country. Finally, Sharīʿah-compliant companies show better performance compared to non-compliant counterparts around the event dates.

This paper is novel in evaluating market reaction during rights issue announcements in multiple Islamic countries. Also, to the best of the authors’ knowledge, this study is the first attempt to compare return behaviour of Sharīʿah-compliant and non-compliant firms around the rights issue announcements.