Shariah Compliant Macaulay’s Duration Model Testing: Evidence from Islamic banks in Indonesia
The purpose of this research is to test Shariah compliant duration models on Islamic banks in Indonesia. This will be achieved using data of earning assets and risk bearing liabilities of Indonesian Islamic banks from 2009 to 2019. Using multiple regressions the results suggest that Shariah complian...
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| Format: | UMS Journal (OJS) |
| Language: | eng |
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Muhammadiyah University Press
2021
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| Online Access: | https://journals.ums.ac.id/index.php/jisel/article/view/15358 |
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| author | Ali Shah, Syed Alamdar Sukmana, Raditya Fianto, Bayu Arie |
| author_facet | Ali Shah, Syed Alamdar Sukmana, Raditya Fianto, Bayu Arie |
| author_sort | Ali Shah, Syed Alamdar |
| collection | OJS |
| description | The purpose of this research is to test Shariah compliant duration models on Islamic banks in Indonesia. This will be achieved using data of earning assets and risk bearing liabilities of Indonesian Islamic banks from 2009 to 2019. Using multiple regressions the results suggest that Shariah compliant duration models are robust to calculate duration of earning assets, return bearing liabilities and Islamic banks. This research adds to the previous research of testing Shariah compliant duration model. Ultimately, it will improve profitability, risk efficiency and Shariah efficiency by improved Shariah compliant measures of risk management. This will ultimately improve market capitalization and returns stability in the long run. A major limitation of the study is very short length of data of Islamic banks. Still another limitation is difference in commencement of business of various Islamic banks that makes length of data unequal. |
| format | UMS Journal (OJS) |
| id | oai:ojs2.journals.ums.ac.id:article-15358 |
| institution | Universitas Muhammadiyah Surakarta |
| language | eng |
| publishDate | 2021 |
| publisher | Muhammadiyah University Press |
| record_format | ojs |
| spelling | oai:ojs2.journals.ums.ac.id:article-15358 Shariah Compliant Macaulay’s Duration Model Testing: Evidence from Islamic banks in Indonesia Ali Shah, Syed Alamdar Sukmana, Raditya Fianto, Bayu Arie Islamic Banks; Earning Assets; Return Bearing Liabilities; Duration Model; Maturity Gap Risk Management model testing The purpose of this research is to test Shariah compliant duration models on Islamic banks in Indonesia. This will be achieved using data of earning assets and risk bearing liabilities of Indonesian Islamic banks from 2009 to 2019. Using multiple regressions the results suggest that Shariah compliant duration models are robust to calculate duration of earning assets, return bearing liabilities and Islamic banks. This research adds to the previous research of testing Shariah compliant duration model. Ultimately, it will improve profitability, risk efficiency and Shariah efficiency by improved Shariah compliant measures of risk management. This will ultimately improve market capitalization and returns stability in the long run. A major limitation of the study is very short length of data of Islamic banks. Still another limitation is difference in commencement of business of various Islamic banks that makes length of data unequal. Muhammadiyah University Press 2021-09-13 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://journals.ums.ac.id/index.php/jisel/article/view/15358 10.23917/jisel.v4i2.15358 Journal of Islamic Economic Laws; Vol 4, No 2: July 2021; 137-176 2655-9617 2655-9609 eng https://journals.ums.ac.id/index.php/jisel/article/view/15358/6921 Copyright (c) 2021 Journal of Islamic Economic Laws https://creativecommons.org/licenses/by-sa/4.0 |
| spellingShingle | Islamic Banks; Earning Assets; Return Bearing Liabilities; Duration Model; Maturity Gap Risk Management model testing Ali Shah, Syed Alamdar Sukmana, Raditya Fianto, Bayu Arie Shariah Compliant Macaulay’s Duration Model Testing: Evidence from Islamic banks in Indonesia |
| title | Shariah Compliant Macaulay’s Duration Model Testing: Evidence from Islamic banks in Indonesia |
| title_full | Shariah Compliant Macaulay’s Duration Model Testing: Evidence from Islamic banks in Indonesia |
| title_fullStr | Shariah Compliant Macaulay’s Duration Model Testing: Evidence from Islamic banks in Indonesia |
| title_full_unstemmed | Shariah Compliant Macaulay’s Duration Model Testing: Evidence from Islamic banks in Indonesia |
| title_short | Shariah Compliant Macaulay’s Duration Model Testing: Evidence from Islamic banks in Indonesia |
| title_sort | shariah compliant macaulay s duration model testing evidence from islamic banks in indonesia |
| topic | Islamic Banks; Earning Assets; Return Bearing Liabilities; Duration Model; Maturity Gap Risk Management model testing |
| topic_facet | Islamic Banks; Earning Assets; Return Bearing Liabilities; Duration Model; Maturity Gap Risk Management model testing |
| url | https://journals.ums.ac.id/index.php/jisel/article/view/15358 |
| work_keys_str_mv | AT alishahsyedalamdar shariahcompliantmacaulaysdurationmodeltestingevidencefromislamicbanksinindonesia AT sukmanaraditya shariahcompliantmacaulaysdurationmodeltestingevidencefromislamicbanksinindonesia AT fiantobayuarie shariahcompliantmacaulaysdurationmodeltestingevidencefromislamicbanksinindonesia |