Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region
Rasha Tawfiq Abadi () and
Additional contact information
Rasha Tawfiq Abadi: University of Minho
Florinda Silva: University of Minho
Eurasian Economic Review, 2022, vol. 12, issue 2, No 3, 266 pages
Abstract This paper investigates the performance of Islamic fundamental weighted (FW) portfolios compared to that of non-Islamic counterparts, to examine whether Shari’ah-compliant stocks can protect investors during crises in the Middle East and North Africa region. Portfolios’ performance is assessed using several risk-adjusted performance measures including more robust measures in the context of recently developed multi-factor models. The study’s findings suggest that the performance of Islamic and non-Islamic FW portfolios depends on the performance measures used and on the periods under analysis. Both Islamic and non-Islamic FW portfolios underperform against the cap-weighted benchmark. Furthermore, the Islamic portfolios underperform compared to their non-Islamic counterparts during the period of the global financial crisis, while they perform similarly to their non-Islamic counterparts during the Arab Spring period. Based on these results, we conclude that Islamic FW portfolios do not seem to protect investors from losses during crises.
Keywords: Islamic fundamental weighted portfolios; Arab spring; Global financial crisis; MENA markets; F65; G01; G11; G12 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s40822-020-00158-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:eurase:v:12:y:2022:i:2:d:10.1007_s40822-020-00158-x
Ordering information: This journal article can be ordered from
Access Statistics for this article
Eurasian Economic Review is currently edited by Dorothea Schäfer
More articles in Eurasian Economic Review from Springer, Eurasia Business and Economics Society Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().