A Study Based on a Sample of U.S. Stocks from 1999 to 2024: Disagreement and Compliance Classification Dynamics Across Different Islamic Finance Screening Rules
When Values-Based Screens Disagree: Continuous Shariah Compliance and Classification Dynamics
This arXiv paper applies 7 sets of Islamic finance screening rules to a sample of 1.34 million monthly observations of U.S. securities from 1999 to 2024, and backtests and compares them on a unified threshold-anchored scale. The results show that the disagreement across the sets of rules reaches 35.9% across all compliant industry observations, and the disagreement in financial ratio screening alone reaches 47.3%. Under AAOIFI's market value denominator rule, changes in market value alone are sufficient to explain 65.6% of non-compliance events, and half of the denominator-driven non-compliances reverse within 3 months.
Source:arXiv q-fin · arxiv.org