Robust Statistical Analysis of Long-Term Performance For Sharia-Compliant Companies in Malaysia Stock Exchange

Abstract

In the year of 2016, Malaysia faced with the challenge in instability of economic condition. This situation weakens Malaysian currency that gives direct impact to all economic sectors in Malaysia. Consequently, this situation gives significant impact on the performance of the sharia-compliant companies listed on the Malaysia Stock Exchange. Therefore, this research validates the long-term performance of share price using market adjusted buy and hold return (MABHR). Then, this study performed normality test to check the distribution of data for return and volatility. Next, correlation analysis performed to validate the relationship between return and volatility. The results show that the Solid Automotive Berhad gives the highest rate of return with respect to the market. While UMW Oil & Gas Corporation Berhad shows the lowest rate of return with respect to the market. The finding of this research helps economists to understand the market trend in empirical thinking. In addition, it also helps the investors to understand the market and make the right decision in investing during this challenging situation.