Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach

Osamah Al-Khazali, Hooi Hooi Lean () and Anis Samet

Pacific-Basin Finance Journal, 2014, vol. 28, issue C, 29-46

Abstract: This paper uses stochastic dominance (SD) analysis to examine whether Islamic stock indexes outperform conventional stock indexes by comparing nine Dow Jones Islamic indexes to their Dow Jones conventional counterparts: Asia Pacific, Canadian, Developed Country, Emerging Markets, European, Global, Japanese, UK, and US indexes. Over the periods of 1996–2012 and 2001–2006, we find that all conventional indexes stochastically dominate Islamic indexes at second and third orders in all markets except the European market. However, the European, US, and global Islamic stock indexes dominate conventional ones during the 2007–2012 period. The results indicate that Islamic indexes outperform their conventional peers during the recent global financial crisis. Thus, Islamic investing performs better than conventional investing during meltdown economy.

Keywords: Stochastic dominance; Islamic stock index; Ethical investing (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (124)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X13000644
Full text for ScienceDirect subscribers only

Related works:
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:eee:pacfin:v:28:y:2014:i:c:p:29-46

DOI: 10.1016/j.pacfin.2013.09.003

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().