Buch, Englisch, 752 Seiten, Format (B × H): 187 mm x 257 mm, Gewicht: 1556 g
Reihe: Wiley Finance Editions
Buch, Englisch, 752 Seiten, Format (B × H): 187 mm x 257 mm, Gewicht: 1556 g
Reihe: Wiley Finance Editions
ISBN: 978-1-118-24713-6
Verlag: John Wiley & Sons
A comprehensive look at the essentials of Islamic capital markets
Bringing together theoretical and practical aspects of capital markets, Islamic Capital Markets offers readers a comprehensive insight into the institutions, instruments, and regulatory framework that comprise Islamic capital markets. Also exploring ideas about money, central banking, and economic growth theory and their role in Islamic capital markets, the book provides students and practitioners with essential information about the analytical tools of Islamic capital markets, serves as a guide to investing in Islamic assets, and examines risk management and the structure of Islamic financial products.
Author and Islamic finance expert Noureddine Krichene examines the development of leading Islamic capital markets, including Malaysia, looking at sukuks and stocks in detail and emphasizing valuation, duration, convexity, immunization, yield curves, forward rates, swaps, and risks. Analyzing stock markets, stock valuation, price-earnings ratio, market efficiency hypothesis, and equity premiums, the book addresses uncertainty in capital markets, portfolio diversification theory, risk-return trade-off, pricing of assets, cost of capital, derivatives and their role in hedging and speculation, the principle of arbitrage and replication, Islamic structured products, the financing of large projects, and more.
* Emphasizes both theoretical and practical aspects of capital markets, covering analytical concepts such as the theory of arbitrage, pricing of assets, capital market pricing model, Arrow-Debreu state prices, risk-neutral pricing, derivatives markets, hedging and risk management, and structured products
* Provides students and practitioners of finance with must-have information about the analytical tools employed in Islamic capital markets
* Examines all the most recent developments in major Islamic capital markets, including Malaysia
Discussing the advantages of Islamic capital markets and the prospects for their development, Islamic Capital Markets gives readers a fundamental grounding in the subject, with an emphasis on financial theory and real world practice.
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
Preface xv
Acknowledgments xxi
Glossary of Arabic Terms xxiii
PART ONE Islamic Capital Markets: Tools of Securities Investment, Asset Pricing, Risk Management, and Portfolio Performance
CHAPTER 1 Capital Theory and Islamic Capital Markets 3
On the Nature of Capital 5
On the Nature of Interest and Profit 10
Capital Theory in Islamic Finance 12
Time Preference and Capital Markets 13
Capital Productivity: The Intertemporal Production Opportunity Set 18
General Equilibrium: Time Preference and Capital Productivity 22
Model of Capital as a Subsistence Fund 26
Capital as an Engine of Growth 29
The Capital Market and the Economy 34
The Intermediation Role of the Capital Market 43
Summary 44
References 45
Questions 45
CHAPTER 2 Portfolio Theory and Risk-Return Tradeoff 47
Market Uncertainty 48
Portfolio Diversification Theory 52
Portfolio Diversification in the Case of Two Risky Assets 56
A Model of a Riskless Asset and a Risky Asset 59
Asset Pricing Based on Risk-Return Tradeoff 62
The Security Market Line 68
Efficiency Frontier, Capital Market Line, Characteristic Line, and Security Market Line 70
The Cost of Capital Based on the Capital Asset Pricing Model 71
Summary 72
References 73
Questions 73
CHAPTER 3 The Analytics of Sukuks 75
Valuation of an Asset 75
Valuation of Sukuks 78
Yield to Maturity 79
Reinvestment of Sukuk Coupons 79
The Par Yield 80
Spot Rates and Forward Rates 81
The Term Structure of Rates of Return 89
Sukuk Duration 94
Sukuk Convexity 100
Immunization of Sukuk Portfolio 104
Summary 110
References 111
Questions 111
CHAPTER 4 Islamic Stocks 117
Sharia Screening 117
Islamic Indexes 118
Speculation and Gambling 119
Stock Yield 122
Common Stock Valuation 125
Forecasting Stock Prices 128
Fundamental and Technical Analysis 135
The Efficiency Hypotheses of Stock Markets 138
Evaluating Companies 142
Mechanics of Trading 144
Summary 150
References 152
Questions 152
CHAPTER 5 The Cost of Capital 155
Objective of the Firm: Market Value Maximization and the Cost of Capital 156
Project Selection: The Hurdle Rate 157
Defining Capital Cost: The Discount Rate 158
The Net Cash Flow 160
The Present Value Formula 161
Relationship between Risk and the Cost of Capital 163
Estimating the Cost of Equity Capital and Overall Cost of Capital 166
Capital Asset Pricing Model (CAPM) 168
Risk-Adjusted versus Certainty-Equivalent Discount Rates 172
Applying the CAPM to Calculate Certainty-Equivalent Cash Flow 174
The Valuation of Securities, Leverage, and the Cost of Capital: The Modigliani and Miller Theory 176
Weighted Average Cost of Capital 180
Implications of the Capital Cost Analysis for the Theory of Investment: Capital Structure and Investment Policy 182
The Agency Problem 183
Summary 184
References 184
Questions 185
CHAPTER 6 Asset Pricing under Uncertainty 189
Modeling Risk and Return 190
Market Efficiency and Arbitrage-Free Pricing 199
Basic Principles of Derivatives Pricing 205
Summary 220
References 220
Questions 220
CHAPTER 7 The Consumption-Based Pricing Model 225
Intertemporal Optimization and Implication to Asset Pricing 225
Asset-Specific Pricing and Correction for Risk 229
Relationship between Expected Return and Beta 231
The Mean Variance (mv) Frontier 232
Risk-Neutral Pricing Implied by the General Pricing Formula 234
Consumption-Based Contingent Discount Factors 235
Equity Premium and Interest Rate Puzzles 236
Summary 239
References 240
Questions 240
CHAPTER 8 Futures Markets 243
Institutional Aspects of Forward and Futures Contracts 243
Valuation of Forward and Futures Contracts 249
Foreign Currencies Futures and the Yield Rate Parity 255
Hedging 256
Rolling the Hedge Forward 262
The Hedge Ratio 263
Cross Hedging 266
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