伊斯蘭指數：篩選準則與建構指數｜國立中央大學博碩士論文系統

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研究生：	翁銘宏 Ming-Hong Weng
論文名稱：	伊斯蘭指數：篩選準則與建構指數 Islamic Index: Screening and Construction
指導教授：	周賓凰 Pin-Huang Chou
口試委員:
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融學系 Department of Finance
論文出版年：	2022
畢業學年度：	110
語文別：	中文
論文頁數：	91
中文關鍵詞：	伊斯蘭指數、富時臺灣伊斯蘭指數、臺灣加權股價指數、臺灣永續指數、崩盤風險、下方風險
外文關鍵詞：	Islamic Index, FTSE TWSE Taiwan Shariah Index, TAIEX, FTSE4Good TIP Taiwan ESG Index, Crash Risk, Downside risk
相關次數：	點閱：28 下載：0
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本文介紹世界上重要的金融組織與機構所提出的指數建構準則，如全球知名的金融機構標準普爾、富時、道瓊和 MSCI ，以及 AAOIFI 和伊斯蘭律法諮詢委員會-馬來西亞證券委員會(SAC-SC)等國際重要機構，然後探討不同組織所提出的方法，有哪些異同之處。最後，以臺灣股票市場為例，制定一套篩選準則，編製成臺灣伊斯蘭指數，命名為中大伊斯蘭指數。實證方面，發現中大伊斯蘭指數在過去 10 年間，有 5 年績效表現勝過大盤，而且於 2015 年中至 2016 年中，觀察到指數價格跌幅比大盤小。風險程度方面，估計崩盤風險與下方風險，中大伊斯蘭成分股的崩盤風險和下方風險，顯著低於非成分股。

First, this research introduced the index construction guidelines proposed by the world's important financial organizations and institutions, and then discussed the similarities and differences between the methods. For instance, S&P, FTSE Russell, Dow Jones and MSCI, as well as AAOIFI and SAC-SC. Furthermore, take the Taiwan stock market as an example to formulate a set of screening criteria and construct the Taiwan Islamic Index, named NCU Islamic index. Empirically, we found that in the past 10 years, NCU Islamic index outperformed the Taiwan market index in 5 years. Besides, between mid-2015 and mid-2016, we observed that NCU Islamic index price dropped more slightly than the market. Finally, we estimated crash risk and downside risk, and found that the risk of NCU Islamic constituent stocks are significantly lower than those of non-constituent stocks.

摘要..............................................ii
Abstract.........................................iii
1  緒論............................................1
2  文獻回顧........................................4
3  伊斯蘭金融簡介...................................6
   3.1  前言.......................................6
   3.2  伊斯蘭經濟與金融............................8
        3.2.1  禁止利息(Riba)......................8
        3.2.2  損益共享制(Mudharabah)..............9
        3.2.3  禁止詐欺............................9
4  伊斯蘭指數篩選準則..............................11
   4.1  篩選準則..................................12
        4.1.1  質化的產業篩選......................12
        4.1.2  量化的財務指標篩選..................12
   4.2  富時伊斯蘭指數.............................13
        4.2.1  富時臺灣證交所伊斯蘭指數.............14
        4.2.2  質化篩選...........................14
        4.2.3  量化篩選...........................15
        4.2.4  定期審查...........................15
   4.3  MSCI 伊斯蘭指數...........................15
        4.3.1  質化篩選...........................16
        4.3.2  量化篩選...........................17
        4.3.3  定期審查...........................18
   4.4  標準普爾伊斯蘭指數.........................18
        4.4.1  質化篩選...........................19
        4.4.2  量化篩選...........................19
        4.4.3  定期審查...........................20
   4.5  道瓊伊斯蘭市場指數.........................20
        4.5.1  質化篩選...........................21
        4.5.2  量化篩選...........................21
        4.5.3  定期審查...........................21
   4.6  STOXX....................................22
        4.6.1  質化篩選...........................22
        4.6.2  量化篩選...........................23
        4.6.3  定期審查...........................23
   4.7 湯森路透理想信用評級........................23
        4.7.1  質化篩選...........................24
        4.7.2  量化篩選...........................25
        4.7.3  定期審查...........................25
   4.8  雅加達伊斯蘭指數...........................25
        4.8.1  質化篩選...........................25
        4.8.2  量化篩選...........................26
   4.9  伊斯蘭金融機構會計和審計組織................26
        4.9.1  質化篩選...........................26
        4.9.2  量化篩選...........................27
   4.10 伊斯蘭律法諮詢委員會-馬來西亞證券交易委員會..27
        4.10.1 質化篩選...........................28
        4.10.2 量化篩選...........................29
        4.10.3 MSME 質化篩選......................29
        4.10.4 MSME 量化篩選......................30
   4.11 ISRA-Bloomberg...........................30
        4.11.1 質化篩選...........................30
        4.11.2 量化篩選...........................31
   4.12 Al Meezan Group..........................32
        4.12.1 質化篩選...........................32
        4.12.2 量化篩選...........................32
   4.13 比較各指數篩選準則之異同...................32
        4.13.1  質化篩選比較......................32
        4.13.2  量化篩選比較......................33
5  中大伊斯蘭指數編製：以臺灣股市為例...............42
   5.1  資料來源與指數方法.........................42
   5.2  質化篩選..................................43
   5.3  量化篩選..................................45
   5.4  定期審查..................................45
6  實證分析.......................................55
   6.1  指數介紹..................................55
        6.1.1  富時臺灣伊斯蘭指數..................55
        6.1.2  臺灣永續指數.......................56
   6.2  敘述統計..................................57
   6.3  績效比較..................................59
   6.4  風險比較..................................65
        6.4.1  崩盤風險...........................65
        6.4.2  下方風險...........................67
7  結論...........................................69
   7.1  結論......................................69
   7.2  未來研究方向...............................69
參考文獻...........................................71
附錄...............................................74

                                

中文文獻
閃耀武(2015),《仰望星月一伊斯蘭文化精要》,新北市:遠景出版。
陳秋月(Jan.2015),“淺談伊斯蘭金融(上)”《證券服務633期》。
臺灣指數公司(2020),“臺灣永續指數v1.6。”
臺灣證券交易所(2008),“臺灣伊斯蘭指數編製說明。”
賴嘉榮.劉志勇(2016),“伊斯蘭債券(Sukuk)研究報告。”

英文文獻
AAOIFI (Dec. 2015), “Sharia’ah Standards.”
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Ang, Andrew, Joseph Chen, and Yuhang Xing (Mar. 2006), “Downside Risk,” The Review of Financial Studies, 19(4), 1191–1239.
Ashraf, Dawood (2016), “Does Shari’ah Screening Cause Abnormal Returns? Empirical Evidence from Islamic Equity Indices,” Journal of Business Ethics,
134, 209–228.
Ayedh, Abdullah, Amir Shaharuddin, and Muhammad Kamaruddin (Oct. 2019), “Shariah Screening Methodology: Does It ’Really’ Shariah Compliance?” IQTISHADIA Jurnal Kajian Ekonomi dan Bisnis Islam, 12, 144–172.
Barro, Robert and Rachel Mccleary (June 2003), “Religion and Economic Growth,” American Sociological Review, 68.
Chen, Joseph, Harrison Hong, and Jeremy C Stein (2001), “Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices,” Journal of Financial Economics, 61(3), 345–381.
Derigs, Ulrich and Shehab Marzban (Nov. 2008), “Review and analysis of current Shariah-compliant equity screening practices,” International Journal
of Islamic and Middle Eastern Finance and Management, 3, 285–303.
Dewandaru, Ginanjar, Obiyathulla Ismath Bacha, A. Mansur M. Masih, and Rumi Masih (2015), “Risk-return characteristics of Islamic equity indices: Multi-timescales analysis,” Journal of Multinational Financial Management, 29, 115–138.
Fielnanda, Refky (Dec. 2017), “Konsep Screening Saham Syariah di Indonesia,” Journal of Islamic Economics, 2.
Fitch Rating (2020), “Guide to Islamic Finance: Fitch Ratings’ Perspective.” FTSE Russell (Aug. 2021), “FTSE TWSE Taiwan Shariah Index v2.4.”
Habib, Farrukh and Abu Umar Faruq Ahmad (2017), “Revisiting the Aaoifi Shariah Standards’ Stock Screening Criteria,” International Journal of Business and Society, 18, 151.
Hashim, Ashraf Md., Farrukh Habib, Ziyaat Isaacs, and Mohamed Anouar Gadhoum (2017), “ISRA-Bloomberg Shariah stock screening and income cleansing methodologies: a conceptual paper,” ISRA International Journal of Islamic Finance, 9, 27–42.
Hassan, M. Kabir and Eric Girard (Jan. 2010), “Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes,” Islamic Economic Studies, 17.
Hilary, Gilles and Kai Wai Hui (2009), “Does religion matter in corporate decision making in America?” Journal of Financial Economics, 93(3), 455–473.
Iqbal, Zamir and Abbas Mirakhor (2007), An Introduction to Islamic Finance: Theory and Practice, Singapore: John Wiley & Sons (Asia) Pte. Ltd.
Khatkhatay, Mohammed Husain and Shariq Nisar (July 2007), “Shariah Compliant Equity Investments: An Assessment of Current Screening Norms,” Islamic Economic Studies, 15.
Mansor, Fadillah and M. Bhatti (Mar. 2011), “Risk and Return Analysis on Performance of the Islamic mutual funds: Evidence from Malaysia,” Global Economy and Finance Journal, 4, 19–31.
MSCI (May 2019), “MSCI Islamic Index Series Methodology.”
Nasiri, Ismail and Mohamed Drissi Bakhkhat (Feb. 2021), “The creation of an Islamic stock market index on the Moroccan financial place according to the S&P method,” Recherches et Applications en Finance Islamique (RAFI), 5.
Qontigo STOXX (Apr. 2022), “STOXX Index Methodology Guide (Portfolio Based Indices).”
S&P Dow Jones Indices (Mar. 2019), “Dow Jones Islamic Market Indices Methodology.”
S&P Dow Jones Indices (May 2021), “S&P Shariah Indices Methodology.”
SAC-SC (Nov. 2021), “List of Shariah-Compliant Securites.”
SC (Aug. 2021), “Shariah Screening Assessment Toolkit For Unlisted Micro, Small and Medium Enterprises.”
Thomson Reuters (Nov. 2015), “Thomson Reuters IdealRatings Islamic Indices Index Methodology.”
Uluyol, Burhan and Khaliq Ahmad Mohamad (Dec. 2017), “Fundamentals, Universe Creation and Appraisal of Major Shari’ah-Compliant Stocks Screening Methodologies,” Al-Shajarah.

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