Performance of global Islamic versus conventional share indices: International evidence

• 出版年: Pacific Basin Finance Journal
• 第一著者: 2-s2.0-84901839763
• フォーマット: 論文
• 言語: English
• 出版事項: Elsevier 2014
• オンライン･アクセス: https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901839763&doi=10.1016%2fj.pacfin.2013.09.002&partnerID=40&md5=7b55b446b7655a52e67de0ebb3544adf

This paper provides empirical evidence on risk-adjusted performance comparisons of share indices from Islamic and conventional markets. To ensure valid comparisons, the selected Islamic indices are matched with conventional indices. The Treasury-bill rate and the MSCI All-World index are used as risk-free rate and world benchmark, respectively. Monthly returns are analyzed and four sub-periods are examined as crisis and non-crisis periods. Findings reveal that Islamic indices outperformed their conventional counterparts during crisis periods but results are inconclusive for the non-crisis periods. This could be due to the conservative nature of Shari'ah-compliant investments offering investors superior investment alternative during crisis. © 2013 Elsevier B.V.