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Performance of global Islamic versus conventional share indices: International evidence

Catherine Soke Fun Ho, Nurul Afiqah Abd Rahman, Noor Hafizha Muhamad Yusuf and Zaminor Zamzamin

Pacific-Basin Finance Journal, 2014, vol. 28, issue C, 110-121

Abstract: 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.

Keywords: Index performance; Islamic finance; Risk-adjusted performance (search for similar items in EconPapers)
JEL-codes: G11 G15 G23 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:28:y:2014:i:c:p:110-121

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