EconPapers    
Economics at your fingertips  
 

The Performance Ranking of Emerging Markets Islamic Indices Using Risk Adjusted Performance Measures

Selim baha Yildiz () and Abdelbari El Khamlichi ()
Additional contact information
Selim baha Yildiz: Celal Bayar University, Turkey

Economics Bulletin, 2017, vol. 37, issue 1, 63-78

Abstract: This paper evaluates the performance of Emerging Market (EM) Morgan Stanley Capital International (MSCI) Islamic indices of 20 countries located in 3 different regions; using 16 different risk adjusted performance measures (RAPMs). The conducted tests show that only Sharpe and M2 Ratios give the identical rankings, Pearson Linear Correlation Coefficient analysis was also performed to measure the correlation between the rankings of 16 RAPMs. The final rankings of the indices are obtained using the Borda count method. Our results suggest that, on a regional basis, the performances of Asian countries are found to be better than both Latin American and EMEA (Europe, Middle East and Africa) region countries. When the countries are examined individually, EM Colombia Islamic index comes first in the assessment; EM United Arab Emirates Islamic index comes at the last position.

Keywords: Emerging Markets; Islamic Indices; Performance Measures; Ranking (search for similar items in EconPapers)
JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2017-01-13
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2017/Volume37/EB-17-V37-I1-P8.pdf (application/pdf)

Related works:
Working Paper: The Performance Ranking of Emerging Markets Islamic Indices Using Risk Adjusted Performance Measures (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-16-00446

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

 
Page updated 2019-09-16
Handle: RePEc:ebl:ecbull:eb-16-00446