PERTANIKA JOURNAL OF SCIENCE AND TECHNOLOGY

J

• Ahmad, Z., & Ibrahim, H. (2002). A study of performance of the KLSE Syariah index. Malaysian Management Journal, 6(1&2), 25-34.

• Alam, N., Tang, K. B., & Rajjaque, M. S. (2016). A comparative performance of conventional and Islamic unit trusts: Market timing and persistence evidence. In Islamic finance (pp. 105-121). Palgrave Macmillan. https://doi.org/10.1007/978-3-319-30918-7_7

• Albaity, M., & Ahmad, R. (2008). Performance of Syariah and composite indices: Evidence from Bursa Malaysia. Asian Academy of Management Journal of Accounting Finance, 4(1), 23-43.

• Albaity, M., & Ahmad, R. (2011). A comparative analysis of the firm specific determinants of Syariah compliant versus non-Syariah compliant firms in Bursa Malaysia. Asian Journal of Business Accounting, 4(1), 59-84.

• Anghel, D. (2013). How reliable is the moving average crossover rule for an investor on the Romanian stock market? The Review of Finance Banking, 5(2), 89-115.

• Ashraf, D. (2013). Performance evaluation of Islamic mutual funds relative to conventional funds. International Journal of Islamic Middle Eastern Finance Management, 6(2), 105-121. https://doi.org/10.1108/17538391311329815

• Baresa, S., Bogdan, S., & Ivanovic, Z. (2018). The performance of minimum variance portfolios in the Croatian tourism sector. UTMS Journal of Economics, 9(1), 63-72.

• Behr, P., Guettler, A., & Miebs, F. (2013). On portfolio optimization: Imposing the right constraints. Journal of Banking Finance, 37(4), 1232-1242. https://doi.org/10.1016/j.jbankfin.2012.11.020

• Bessler, W., Opfer, H., & Wolff, D. (2017). Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches. The European Journal of Finance, 23(1), 1-30. https://doi.org/10.1080/1351847X.2014.953699

• Bodnar, T., & Zabolotskyy, T. (2017). How risky is the optimal portfolio which maximizes the Sharpe ratio? AStA Advances in Statistical Analysis, 101(1), 1-28. https://doi.org/10.1007/s10182-016-0270-3

• Brock, W., Lakonishok, J., & LeBaron, B. (1992). Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance, 47(5), 1731-1764.

• Chang, E. C., & Lewellen, W. G. (1984). Market timing and mutual fund investment performance. The Journal of Business, 57(1), 57-72. https://doi.org/10.1086/296224

• Das, P. K., & Rao, S. U. (2015). Market timing and selectivity performance of socially responsible funds. Social Responsibility Journal, 11(2), 258-269. https://doi.org/10.1108/SRJ-07-2013-0088

• DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy? The Review of Financial Studies, 22(5), 1915-1953. https://doi.org/10.1093/rfs/hhm075

• El-Khodary, I. A. (2009). A decision support system for technical analysis of financial markets based on the moving average crossover. World Applied Sciences Journal, 6(11), 1457-1472.

• Elias, S. M., Razak, M. Z., & Kamil, K. H. (2014). Investment strategies in Malaysian Shariah-compliant equities with transaction costs. ʻUlūm Islāmiyyah Journal, 13, 179-196.

• Faber, M. T. (2007). A quantitative approach to tactical asset allocation. The Journal of Wealth Management, 9(4), 69-79. https://doi.org/https://doi.org/10.3905/jwm.2007.674809

• Fama, E. F. (1972). Components of investment performance. The Journal of Finance, 27(3), 551-567. https://doi.org/10.2307/2978261

• Fikriyah, A., Hassan, T., & Mohamad, S. (2007). Investigation of performance of Malaysian Islamic unit trust funds. Managerial Finance, 33(2), 142-153. https://doi.org/10.1108/03074350710715854

• Hassan, A., & Antoniou, A. (2005). Impact of ethical screening on investment performance: The case of the Dow Jones Islamic Index. Islamic Economic Studies, 12 & 13(1 & 2), 67-97.

• Henriksson, R. D., & Merton, R. C. (1981). On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. Journal of Business, 513-533. https://doi.org/10.1086/296144

• Hoe, L. W., & Siew, L. W. (2016). Portfolio optimization with mean-variance model. AIP Conference Proceedings, 1739(1), 10-13. https://doi.org/10.1063/1.4952526

• Ivanova, M., & Dospatliev, L. (2017). Application of Markowitz portfolio optimization on Bulgarian stock market from 2013 to 2016. International Journal of Pure Applied Mathematics, 117(2), 291-307. https://doi.org/10.12732/ijpam.v117i2.5

• Jensen, M. C. (1969). Risk, the pricing of capital assets, and the evaluation of investment portfolios. The Journal of Business, 42(2), 167-247. https://doi.org/10.1017/CBO9781107415324.004

• Kannan, K. S., Sekar, P. S., Sathik, M. M., & Arumugam, P. (2010). Financial stock market forecast using data mining techniques. Proceedings of the International Multiconference of Engineers and Computer Scientists, IMECS 2010, 1(4), 555-559.

• Kourtis, A. (2016). The Sharpe ratio of estimated efficient portfolios. Finance Research Letters, 17, 72-78. https://doi.org/10.1016/j.frl.2016.01.009

• Kreander, N., Gray, R. H., Power, D. M., & Sinclair, C. D. (2005). Evaluating the performance of ethical and non-ethical funds: A matched pair analysis. Journal of Business Finance Accounting, 32(7-8), 1465-1493. https://doi.org/10.1111/j.0306-686X.2005.00636.x

• Kulali, I. (2016). Portfolio optimization analysis with markowitz quadratic mean-variance model. European Journal of Business Management, 8(7), 73-79.

• Lean, H. H., & Parsva, P. (2012). Performance of Islamic indices in Malaysia FTSE market: Empirical evidence from CAPM. Journal of Applied Sciences, 12(12), 1274-1281. https://doi.org/10.3923/jas.2012.1274.1281

• Lee, C. F., & Rahman, S. (1990). Market timing, selectivity, and mutual fund performance: An empirical investigation. Journal of Business, 63(2), 261-278.

• Low, S. W. (2012). Market timing and selectivity performance: A cross-sectional analysis of Malaysian unit trust funds. Prague economic papers, 2, 205-219. https://doi.org/10.18267/j.pep.419

• M’ng, J. C. P., & Zainudin, R. (2016). Assessing the efficacy of adjustable moving averages using ASEAN-5 currencies. PLoS One, 11(8), 1-19. https://doi.org/10.1371/journal.pone.0160931

• Mansor, F., & Bhatti, M. I. (2011). Risk and return analysis on performance of the Islamic mutual funds: Evidence from Malaysia. Global Economy and Finance Journal, 4(1), 19-31.

• Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77-91. https://doi.org/10.1002/9781118267028.ch3

• Nassir, A. M., Mohamed, S., & Ngu, M. H. (1997). Selectivity and timing: Evidence from the performance of Malaysian unit trusts. Pertanika Journal of Social Science Humanities, 5(1), 45-57.

• Oliveira, L., Salen, T., Curto, J. D., & Ferreira, N. (2019). Market timing and selectivity: An empirical investigation of European mutual fund performance. International Journal of Economics and Finance, 11(2), 1-16. https://doi.org/10.5539/ijef.v11n2p1

• Paramita, V. S., Sembiring, F. M., & Safitri, D. (2018). Measuring selectivity and market timing performance of mutual funds in Indonesia using single and dual beta models. KnE Social Sciences, 3(10), 1800-1809. https://doi.org/10.18502/kss.v3i10.3515

• Pflug, G. C., Pichler, A., & Wozabal, D. (2012). The 1/N investment strategy is optimal under high model ambiguity. Journal of Banking & Finance, 36(2), 410-417. https://doi.org/10.1016/j.jbankfin.2011.07.018

• Schmid, W., & Zabolotskyy, T. (2008). On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio. AStA Advances in Statistical Analysis, 92(1), 29-34. https://doi.org/10.1007/s10182-008-0054-5

• Shaikh, S. A., Ismail, M. A., Ismail, A. G., Shahimi, S., & Shafiai, M. H. M. (2019). Comparative analysis of Shari’ah-compliant portfolios: evidence from Pakistan. Journal of Islamic Accounting and Business Research, 10(3), 466-487. https://doi.org/10.1108/JIABR-10-2016-0121

• Siew, L. W., Jaaman, S. H., & Ismail, H. (2016). Portfolio optimization for index tracking modelling in Malaysia stock market. AIP Innovations Through Mathematical and Statistical Research, 1739(1), 020025. https://doi.org/10.1063/1.4952505

• Treynor, J., & Mazuy, K. (1966). Can mutual funds outguess the market. Harvard Business Review, 44(4), 131-136.

• Vo, D. H., Pham, T. N., Pham, T. T. V., Truong, L. M., & Nguyen, T. C. (2019). Risk, return and portfolio optimization for various industries in the ASEAN region. Borsa Istanbul Review, 19(2), 132-138. https://doi.org/10.1016/j.bir.2018.09.003

• Wong, W. K., Manzur, M., & Chew, B. K. (2010). How rewarding is technical analysis? Evidence from Singapore stock market. Applied Financial Economics, 13(7), 543-551. https://doi.org/10.1080/0960310022000020906

• Zakamulin, V. (2014). The real-life performance of market timing with moving average and time-series momentum rules. Journal of Asset Management, 15(4), 261-278. https://doi.org/10.1057/jam.2014.25

• Zhang, Y., Wei, Y., Ma, F., & Yi, Y. (2019). Economic constraints and stock return predictability: A new approach. International Review of Financial Analysis, 63, 1-9. https://doi.org/10.1016/j.irfa.2019.02.007