AI 中文总结
该研究聚焦受限资本市场的分类不确定性，以伊斯兰合规股票筛选为对象，实证发现官方伊斯兰许可需结合证券可交易性才会产生价格效应，且筛选规则分歧等因素影响投资者基础变动。
AI 中文摘要
伊斯兰合规股票筛选提供了一个透明的环境，其中机构规则决定谁可以持有股票。二元标签标识当前的合格性，但未说明可行的投资者基础是否因标准而分散或接近变化。我们将这种不稳定性定义为分类不确定性，并通过允许的投资者规模形式化其对投资者基础的影响。在1999-2024年CRSP-Compustat的13188种证券面板数据中，这些证券根据7种研究者模拟的伊斯兰教法规则手册进行分类，筛选规则分歧和接近活跃边界对下月筛选隐含的过渡具有重要影响。美国Fama-MacBeth诊断不支持无条件等权重许可溢价，且2023年9月DJIM/S&P方法论变更未产生稳健的匹配定价。核心事件证据使用25份马来西亚证券委员会官方列表：在先前审查前已交易的410只纳入证券具有正但不精确的匹配回报；应用事件前换手率下限后，295只纳入证券在[0,10]个交易日内有1.76个百分点的超额收益（日期p值=0.008；野生p值=0.017），在[0,20]个交易日内有2.25个百分点的超额收益（日期p值=0.018；野生p值=0.035）。留一日期、仅首次纳入和审查中期安慰剂检验结果支持该结论，尽管联合20天事件前检验予以拒绝。所有权和需求压力诊断未识别出唯一的边际买家或干净的因果需求冲击。证据支持将分类风险视为投资组合监控状态：在可充分交易的证券中，官方伊斯兰许可与认可本地市场的价格效应相关，仅正式合格性不足。
英文摘要
Shariah-compliant equity screening provides a transparent setting in which institutional rules determine who may own a stock. A binary label identifies current eligibility but not whether the feasible investor base is fragmented across standards or close to changing. We define this instability as classification uncertainty and formalize its investor-base consequence through permitted investor mass. In a 1999-2024 CRSP-Compustat panel of 13,188 securities classified under seven researcher-emulated Shariah rulebooks, screening-rule disagreement and proximity to active boundaries rank next-month screen-implied transitions. U.S. Fama-MacBeth diagnostics do not support an unconditional equal-weighted permission premium, and a September 2023 DJIM/S&P methodology change produces no robust matched repricing. The central event evidence uses 25 official Securities Commission Malaysia lists. The 410 inclusions already trading before the preceding review have positive but imprecise matched returns. Applying the pre-event turnover floor yields 295 inclusions with 1.76 percentage points over $[0,10]$ trading days ($p_{\mathrm{date}}=0.008$; $p_{\mathrm{wild}}=0.017$) and 2.25 points over $[0,20]$ ($p_{\mathrm{date}}=0.018$; $p_{\mathrm{wild}}=0.035$). Leave-one-date-out, first-inclusion-only, and mid-review placebo checks are supportive, although a joint 20-day pre-event test rejects. Ownership and demand-pressure diagnostics do not identify a unique marginal buyer or clean causal demand shock. The evidence supports treating classification risk as a portfolio-monitoring state. Official Shariah permission is associated with price effects in a recognized local market among sufficiently tradable securities; formal eligibility alone is insufficient.
Comments67 pages, 20 figures, 27 tables
