Proceedings of the International Conference on Science and Engineering (ICSE-UIN-SUKA 2021)

The Technical Approach for Measuring the Performance of the Malaysian Shariah Stocks During the COVID-19 Outbreak

Authors
Noor Saif Muhammad Mussafi1, 2, Zuhaimy Ismail2, *
1Department of Mathematics, UIN Sunan Kalijaga Yogyakarta, Indonesia
2Department of Mathematical Sciences, Universiti Teknologi Malaysia, Johor Bahru, Malaysia
*Corresponding author. Email: zuhaimyutm@gmail.com
Corresponding Author
Zuhaimy Ismail
Available Online 23 December 2021.
DOI
https://doi.org/10.2991/aer.k.211222.007How to use a DOI?
Keywords
COVID-19; Malaysian Shariah Stocks; mRVAL; EMA
Abstract

The COVID-19 outbreak affects all aspects of life including stocks trading. This paper aims to highlight the performance of Malaysian Shariah stocks during the COVID-19 outbreak by employing modified Reward to Variability (mRVAL) and EMA (Exponential Moving Average). The analysis of individual stocks started by mRVAL to consider the risk-adjusted return and followed by EMA to predict the buy or sell momentum. The dataset considers the historical price of the top-rated constituents of FTSE Bursa Malaysia EMAS Shariah Index among the three waves of the COVID-19 outbreak in Malaysia, particularly in 2020. The result shows that TPGC outperforms others in the risk-return ratio with a value of 0.0621. Meanwhile, the buy signal of TPGC falls on October 1, 2020, while the selling momentums are suggested around a month before and after the buy signal. Overall, most of the shariah stocks showed a downward trend of volatility in 2020 compared to the previous year. However, TPGC (a health care sector) has surprisingly improved during the COVID-19 outbreak.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the International Conference on Science and Engineering (ICSE-UIN-SUKA 2021)
Series
Advances in Engineering Research
Publication Date
23 December 2021
ISBN
978-94-6239-494-0
ISSN
2352-5401
DOI
https://doi.org/10.2991/aer.k.211222.007How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Noor Saif Muhammad Mussafi
AU  - Zuhaimy Ismail
PY  - 2021
DA  - 2021/12/23
TI  - The Technical Approach for Measuring the Performance of the Malaysian Shariah Stocks During the COVID-19 Outbreak
BT  - Proceedings of the International Conference on Science and Engineering (ICSE-UIN-SUKA 2021)
PB  - Atlantis Press
SP  - 39
EP  - 45
SN  - 2352-5401
UR  - https://doi.org/10.2991/aer.k.211222.007
DO  - https://doi.org/10.2991/aer.k.211222.007
ID  - Mussafi2021
ER  -