Bibliometric Analysis of Value at Risk in Islamic Portfolio: Trends, Gaps, and Future Directions
DOI:
https://doi.org/10.15575/jieb.v4i2.45494Keywords:
Bibliometric analysis, Islamic finance, Risk management, Sharia Finance, Value at Risk (VaR)Abstract
This study explores trends, intellectual structures, and thematic evolution in the literature on Value at Risk (VaR) for Islamic portfolios, identifying research gaps and proposing future directions. Using bibliometric analysis, it synthesizes 311 articles from the Scopus database (2005–2025) through Biblioshiny in RStudio and VOSviewer, focusing on publication trends, influential authors, affiliations, and thematic structures. The findings reveal steady growth in VaR literature for Islamic portfolios, with a 3.53% annual growth rate and contributions from 677 authors. Key contributors include Hammoudeh S., Mensi W., and institutions like International Islamic University Malaysia and Prince Sultan University. Thematic analysis highlights advanced methodologies such as GARCH and wavelet analysis, enhancing Islamic finance approaches. Thematic evolution shows a shift from foundational Islamic finance topics to complex analyses of volatility spillovers and dynamic connectedness. The study identifies nine research clusters and recommends integrating ESG considerations, improving risk management, and strengthening portfolio diversification. This research offers valuable insights for practitioners and policymakers in Islamic finance, underscoring the importance of tailored risk assessment tools. It provides a roadmap for scholars to address gaps, particularly in adapting conventional VaR methods to align with Islamic principles. To the authors’ knowledge, this is the first comprehensive bibliometric analysis on VaR in Islamic portfolios, significantly contributing to the literature by mapping intellectual landscapes and offering actionable future research directions.
References
Abuzayed, B., & Al‐Fayoumi, N. (2021). Risk Spillover From Crude Oil Prices to GCC Stock Market Returns: New Evidence During the COVID-19 Outbreak. The North American Journal of Economics and Finance, 58, 101476. https://doi.org/10.1016/j.najef.2021.101476
Afuecheta, E., Okorie, I. E., Bakather, A., Alsaggaf, A. A. H., & Nadarajah, S. (2024). Modeling of Stock Price Indices from Five Gulf Cooperation Council (GCC) Economies. Computational Economics. Scopus. https://doi.org/10.1007/s10614-024-10821-z
ALI, A. (2021). Performance Evaluation of Islamic and Non-Islamic Equity and Bonds Indices. Evidence From Selected Emerging and Developed Countries. Jaes, 16(16), 251. https://doi.org/10.57017/jaes.v16.3(73).02
Ali, S., Yousaf, I., & Vo, X. V. (2024). Comovements and hedging effectiveness between conventional and Islamic cryptocurrencies: Evidence from the COVID-19 pandemic. International Journal of Emerging Markets, 19(12), 4383–4408. Scopus. https://doi.org/10.1108/IJOEM-10-2021-1571
Al-Nassar, N. S. (2023). The Dynamic Return and Volatility Spillovers Among Size-Based Stock Portfolios in the Saudi Market and Their Portfolio Management Implications During Different Crises. International Journal of Financial Studies, 11(3), 113. https://doi.org/10.3390/ijfs11030113
Aloui, C., Hammoudeh, S., & Hamida, H. B. (2015). Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis. Journal of International Financial Markets, Institutions and Money, 34, 69–79. Scopus. https://doi.org/10.1016/j.intfin.2014.11.003
Alshater, M. M., Hassan, M. K., Khan, A., & Saba, I. (2020). Influential and Intellectual Structure of Islamic Finance: A Bibliometric Review. International Journal of Islamic and Middle Eastern Finance and Management, 14(2), 339–365. https://doi.org/10.1108/imefm-08-2020-0419
AlShattarat, W. K., & Atmeh, M. (2016). Profit-Sharing Investment Accounts in Islamic Banks or Mutualization, Accounting Perspective. Journal of Financial Reporting and Accounting, 14(1), 30–48. https://doi.org/10.1108/jfra-07-2014-0056
Archer, S., Ahmed Abdel Karim, R., & Sundararajan, V. (2010). Supervisory, regulatory, and capital adequacy implications of profit-sharing investment accounts in Islamic finance. Journal of Islamic Accounting and Business Research, 1(1), 10–31. Scopus. https://doi.org/10.1108/17590811011033389
Bahloul, S., Mroua, M., & Naifar, N. (2023). Re-evaluating the hedge and safe-haven properties of Islamic indexes, gold and Bitcoin: Evidence from DCC–GARCH and quantile models. Journal of Islamic Accounting and Business Research, 14(8), 1167–1181. Scopus. https://doi.org/10.1108/JIABR-03-2022-0076
Baig, A. S., Butt, H. A., & Khalid, R. (2022). Estimating value-at-risk models for non-conventional equity market index. Review of Financial Economics, 40(1), 63–76. Scopus. https://doi.org/10.1002/rfe.1139
Bakar, N. A., & Rosbi, S. (2019). Volatility Diagnostics for Stock Price of Sharia-Compliant Companies Listed in Malaysia Composite Index. International Journal of Advanced Engineering Management and Science, 5(2), 116–121. https://doi.org/10.22161/ijaems.5.2.4
Ben Rejeb, A. (2017). On the volatility spillover between lslamic and conventional stock markets: A quantile regression analysis. Research in International Business and Finance, 42, 794–815. Scopus. https://doi.org/10.1016/j.ribaf.2017.07.017
Benlagha, N., & Mseddi, S. (2019). Return and volatility spillovers in the presence of structural breaks: Evidence from GCC Islamic and conventional banks. Journal of Asset Management, 20(1), 72–90. Scopus. https://doi.org/10.1057/s41260-018-00107-z
Berkelaar, A., Cumperayot, P., & Kouwenberg, R. (2002). The Effect of VaR Based Risk Management on Asset Prices and the Volatility Smile. European Financial Management, 8(2), 139–164. https://doi.org/10.1111/1468-036x.00182
Bhuiyan, R. A., Rahman, M. P., Saiti, B., & Ghani, G. B. M. (2019). Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses.
North American Journal of Economics and Finance, 47, 675–687. Scopus. https://doi.org/10.1016/j.najef.2018.07.008
Biancone, P., Saiti, B., Petricean, D., & Chmet, F. (2020). The Bibliometric Analysis of Islamic Banking and Finance. Journal of Islamic Accounting and Business Research, 11(10), 2069–2086. https://doi.org/10.1108/jiabr-08-2020-0235
Billah, M., Alam, M. R., & Balli, F. (2024). Tail risk spillovers between Islamic sectoral equities and bond markets: A time-frequency domain approach. Applied Economics. Scopus. https://doi.org/10.1080/00036846.2024.2364091
Braiek, S., Bedoui, R., & Belkacem, L. (2022). Islamic portfolio optimization under systemic risk: Vine Copula-CoVaR based model. International Journal of Finance and Economics, 27(1), 1321–1339. Scopus. https://doi.org/10.1002/ijfe.2217
Braiek, S., & Ben Said, H. (2024). Dynamic dependency between health-care sector and Islamic industry: Before, during and after COVID-19 lockdown evidences. Journal of Financial Reporting and Accounting. Scopus. https://doi.org/10.1108/JFRA-09-2023-0557
Chau, F., Deesomsak, R., & Wang, J. (2014). Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries. Journal of International Financial Markets, Institutions and Money, 28(1), 1–19. Scopus. https://doi.org/10.1016/j.intfin.2013.10.008
Chowdhury, I. H., Balli, F., & Bruin, A. d. (2021). Islamic Equity Markets Versus Their Conventional Counterparts in the COVID‐19 Age: Reaction, Resilience, and Recovery. International Review of Finance, 22(2), 315–324. https://doi.org/10.1111/irfi.12349
Dewandaru, G., Bacha, O. I., Masih, M., & Masih, R. (2015). Risk-Return Characteristics of Islamic Equity Indices: Multi-Timescales Analysis. Journal of Multinational Financial Management, 29, 115–138. https://doi.org/10.1016/j.mulfin.2014.11.006
Dewi, M. K., & Ferdian, I. R. (2021). Enhancing Islamic Financial Literacy Through Community-Based Workshops: A Transtheoretical Model. Journal of Islamic Accounting and Business Research, 12(5), 729–747. https://doi.org/10.1108/jiabr-08-2020-0261
Ekananda, M., & Syahrivar, J. (2023). Panel VAR for Analyzing Business Cycle Influence on the Distribution of Sharia Banking Financing in Indonesian Sharia Banking. Media Ekonomi Dan Manajemen, 38(1), 33. https://doi.org/10.56444/mem.v38i1.3155
Farooq, M., & Zaheer, S. (2015). Are Islamic Banks More Resilient During Financial Panics? SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2585387
Fauzi, A. (2024). The Impact of Sharia Financial Literacy, Religiosity, and Perceived Quality on Investment Decisions on Sharia-Compliant Products. Ijems, 1(2), 156–173. https://doi.org/10.61132/ijems.v1i2.56
Febrianto, I. (2023). Investor Sentiment Under the Maqasid Al-Shari’ah Compliance Asset Pricing Model: A Behavioral Finance Approach to Islamic Finance. Asia-Pacific Management Accounting Journal, 18(2), 165–190. https://doi.org/10.24191/apmaj.v18i2-07
Ghallabi, F., Yousaf, I., Ghorbel, A., & Li, Y. (2024). Time-varying risk spillovers between renewable energy and Islamic stock markets: Evidence from the Russia-Ukraine conflict. Pacific Basin Finance Journal, 85. Scopus. https://doi.org/10.1016/j.pacfin.2024.102345
Ghorbel, A., Abdelhedi, M., & Boujelbene, Y. (2014). Assessing the Impact of Crude Oil Price and Investor Sentiment on Islamic Indices: Subprime Crisis. Journal of African Business, 15(1), 13–24. Scopus. https://doi.org/10.1080/15228916.2014.881222
Habibi, Z., & Rusgianto, S. (2021). Risk of Return Characteristics of Islamic Bank Financing Portfolio in Indonesia. Jurnal Ekonomi Dan Bisnis Islam (Journal of Islamic Economics and Business), 7(1), 72. https://doi.org/10.20473/jebis.v7i1.24571
Hachicha, N., Ghorbel, A., Feki, M. C., Tahi, S., & Dammak, F. A. (2022). Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX: A comparison between DCC, ADCC and GO-GARCH models. Borsa Istanbul Review, 22(2), 209–225. Scopus. https://doi.org/10.1016/j.bir.2021.04.002
Hamid, K., Akash, R. S. I., & Ghafoor, M. M. (2019). Testing of Volatility Spillovers Dynamics and Network Connectedness Between Islamic Indices of Regional Stock Markets. Global Regional Review, IV(I), 128–137. https://doi.org/10.31703/grr.2019(iv-i).15
Hammoudeh, S., Mensi, W., Reboredo, J. C., & Nguyen, D. K. (2014). Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors. Pacific Basin Finance Journal, 30, 189–206. Scopus. https://doi.org/10.1016/j.pacfin.2014.10.001
Hasan, Md. B., Rashid, Md. M., Shafiullah, M., & Sarker, T. (2022). How Resilient Are Islamic Financial Markets During the COVID-19 Pandemic? Pacific-Basin Finance Journal, 74, 101817. https://doi.org/10.1016/j.pacfin.2022.101817
Afuecheta, E., Okorie, I. E., Bakather, A., Alsaggaf, A. A. H., & Nadarajah, S. (2024). Modeling of Stock Price Indices from Five Gulf Cooperation Council (GCC) Economies. Computational Economics. Scopus. https://doi.org/10.1007/s10614-024-10821-z
ALI, A. (2021). Performance Evaluation of Islamic and Non-Islamic Equity and Bonds Indices. Evidence From Selected Emerging and Developed Countries. Jaes, 16(16), 251. https://doi.org/10.57017/jaes.v16.3(73).02
Ali, S., Yousaf, I., & Vo, X. V. (2024). Comovements and hedging effectiveness between conventional and Islamic cryptocurrencies: Evidence from the COVID-19 pandemic. International Journal of Emerging Markets, 19(12), 4383–4408. Scopus. https://doi.org/10.1108/IJOEM-10-2021-1571
Al-Nassar, N. S. (2023). The Dynamic Return and Volatility Spillovers Among Size-Based Stock Portfolios in the Saudi Market and Their Portfolio Management Implications During Different Crises. International Journal of Financial Studies, 11(3), 113. https://doi.org/10.3390/ijfs11030113
Aloui, C., Hammoudeh, S., & Hamida, H. B. (2015). Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis. Journal of International Financial Markets, Institutions and Money, 34, 69–79. Scopus. https://doi.org/10.1016/j.intfin.2014.11.003
Alshater, M. M., Hassan, M. K., Khan, A., & Saba, I. (2020). Influential and Intellectual Structure of Islamic Finance: A Bibliometric Review. International Journal of Islamic and Middle Eastern Finance and Management, 14(2), 339–365. https://doi.org/10.1108/imefm-08-2020-0419
AlShattarat, W. K., & Atmeh, M. (2016). Profit-Sharing Investment Accounts in Islamic Banks or Mutualization, Accounting Perspective. Journal of Financial Reporting and Accounting, 14(1), 30–48. https://doi.org/10.1108/jfra-07-2014-0056
Archer, S., Ahmed Abdel Karim, R., & Sundararajan, V. (2010). Supervisory, regulatory, and capital adequacy implications of profit-sharing investment accounts in Islamic finance. Journal of Islamic Accounting and Business Research, 1(1), 10–31. Scopus. https://doi.org/10.1108/17590811011033389
Bahloul, S., Mroua, M., & Naifar, N. (2023). Re-evaluating the hedge and safe-haven properties of Islamic indexes, gold and Bitcoin: Evidence from DCC–GARCH and quantile models. Journal of Islamic Accounting and Business Research, 14(8), 1167–1181. Scopus. https://doi.org/10.1108/JIABR-03-2022-0076
Baig, A. S., Butt, H. A., & Khalid, R. (2022). Estimating value-at-risk models for non-conventional equity market index. Review of Financial Economics, 40(1), 63–76. Scopus. https://doi.org/10.1002/rfe.1139
Bakar, N. A., & Rosbi, S. (2019). Volatility Diagnostics for Stock Price of Sharia-Compliant Companies Listed in Malaysia Composite Index. International Journal of Advanced Engineering Management and Science, 5(2), 116–121. https://doi.org/10.22161/ijaems.5.2.4
Ben Rejeb, A. (2017). On the volatility spillover between lslamic and conventional stock markets: A quantile regression analysis. Research in International Business and Finance, 42, 794–815. Scopus. https://doi.org/10.1016/j.ribaf.2017.07.017
Benlagha, N., & Mseddi, S. (2019). Return and volatility spillovers in the presence of structural breaks: Evidence from GCC Islamic and conventional banks. Journal of Asset Management, 20(1), 72–90. Scopus. https://doi.org/10.1057/s41260-018-00107-z
Berkelaar, A., Cumperayot, P., & Kouwenberg, R. (2002). The Effect of VaR Based Risk Management on Asset Prices and the Volatility Smile. European Financial Management, 8(2), 139–164. https://doi.org/10.1111/1468-036x.00182
Bhuiyan, R. A., Rahman, M. P., Saiti, B., & Ghani, G. B. M. (2019). Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses.
North American Journal of Economics and Finance, 47, 675–687. Scopus. https://doi.org/10.1016/j.najef.2018.07.008
Biancone, P., Saiti, B., Petricean, D., & Chmet, F. (2020). The Bibliometric Analysis of Islamic Banking and Finance. Journal of Islamic Accounting and Business Research, 11(10), 2069–2086. https://doi.org/10.1108/jiabr-08-2020-0235
Billah, M., Alam, M. R., & Balli, F. (2024). Tail risk spillovers between Islamic sectoral equities and bond markets: A time-frequency domain approach. Applied Economics. Scopus. https://doi.org/10.1080/00036846.2024.2364091
Braiek, S., Bedoui, R., & Belkacem, L. (2022). Islamic portfolio optimization under systemic risk: Vine Copula-CoVaR based model. International Journal of Finance and Economics, 27(1), 1321–1339. Scopus. https://doi.org/10.1002/ijfe.2217
Braiek, S., & Ben Said, H. (2024). Dynamic dependency between health-care sector and Islamic industry: Before, during and after COVID-19 lockdown evidences. Journal of Financial Reporting and Accounting. Scopus. https://doi.org/10.1108/JFRA-09-2023-0557
Chau, F., Deesomsak, R., & Wang, J. (2014). Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries. Journal of International Financial Markets, Institutions and Money, 28(1), 1–19. Scopus. https://doi.org/10.1016/j.intfin.2013.10.008
Chowdhury, I. H., Balli, F., & Bruin, A. d. (2021). Islamic Equity Markets Versus Their Conventional Counterparts in the COVID‐19 Age: Reaction, Resilience, and Recovery. International Review of Finance, 22(2), 315–324. https://doi.org/10.1111/irfi.12349
Dewandaru, G., Bacha, O. I., Masih, M., & Masih, R. (2015). Risk-Return Characteristics of Islamic Equity Indices: Multi-Timescales Analysis. Journal of Multinational Financial Management, 29, 115–138. https://doi.org/10.1016/j.mulfin.2014.11.006
Dewi, M. K., & Ferdian, I. R. (2021). Enhancing Islamic Financial Literacy Through Community-Based Workshops: A Transtheoretical Model. Journal of Islamic Accounting and Business Research, 12(5), 729–747. https://doi.org/10.1108/jiabr-08-2020-0261
Ekananda, M., & Syahrivar, J. (2023). Panel VAR for Analyzing Business Cycle Influence on the Distribution of Sharia Banking Financing in Indonesian Sharia Banking. Media Ekonomi Dan Manajemen, 38(1), 33. https://doi.org/10.56444/mem.v38i1.3155
Farooq, M., & Zaheer, S. (2015). Are Islamic Banks More Resilient During Financial Panics? SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2585387
Fauzi, A. (2024). The Impact of Sharia Financial Literacy, Religiosity, and Perceived Quality on Investment Decisions on Sharia-Compliant Products. Ijems, 1(2), 156–173. https://doi.org/10.61132/ijems.v1i2.56
Febrianto, I. (2023). Investor Sentiment Under the Maqasid Al-Shari’ah Compliance Asset Pricing Model: A Behavioral Finance Approach to Islamic Finance. Asia-Pacific Management Accounting Journal, 18(2), 165–190. https://doi.org/10.24191/apmaj.v18i2-07
Ghallabi, F., Yousaf, I., Ghorbel, A., & Li, Y. (2024). Time-varying risk spillovers between renewable energy and Islamic stock markets: Evidence from the Russia-Ukraine conflict. Pacific Basin Finance Journal, 85. Scopus. https://doi.org/10.1016/j.pacfin.2024.102345
Ghorbel, A., Abdelhedi, M., & Boujelbene, Y. (2014). Assessing the Impact of Crude Oil Price and Investor Sentiment on Islamic Indices: Subprime Crisis. Journal of African Business, 15(1), 13–24. Scopus. https://doi.org/10.1080/15228916.2014.881222
Habibi, Z., & Rusgianto, S. (2021). Risk of Return Characteristics of Islamic Bank Financing Portfolio in Indonesia. Jurnal Ekonomi Dan Bisnis Islam (Journal of Islamic Economics and Business), 7(1), 72. https://doi.org/10.20473/jebis.v7i1.24571
Hachicha, N., Ghorbel, A., Feki, M. C., Tahi, S., & Dammak, F. A. (2022). Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX: A comparison between DCC, ADCC and GO-GARCH models. Borsa Istanbul Review, 22(2), 209–225. Scopus. https://doi.org/10.1016/j.bir.2021.04.002
Hamid, K., Akash, R. S. I., & Ghafoor, M. M. (2019). Testing of Volatility Spillovers Dynamics and Network Connectedness Between Islamic Indices of Regional Stock Markets. Global Regional Review, IV(I), 128–137. https://doi.org/10.31703/grr.2019(iv-i).15
Hammoudeh, S., Mensi, W., Reboredo, J. C., & Nguyen, D. K. (2014). Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors. Pacific Basin Finance Journal, 30, 189–206. Scopus. https://doi.org/10.1016/j.pacfin.2014.10.001
Hasan, Md. B., Rashid, Md. M., Shafiullah, M., & Sarker, T. (2022). How Resilient Are Islamic Financial Markets During the COVID-19 Pandemic? Pacific-Basin Finance Journal, 74, 101817. https://doi.org/10.1016/j.pacfin.2022.101817
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2025-05-16
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Yulandri, E., Heryana, T., Utama, W., Nugraha, Waspada, I., & Purnamasari, I. (2025). Bibliometric Analysis of Value at Risk in Islamic Portfolio: Trends, Gaps, and Future Directions. Journal of Islamic Economics and Business, 4(2), 130–170. https://doi.org/10.15575/jieb.v4i2.45494
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