Efficiency and Dynamics of Islamic Investment: Evidence of Geopolitical Effects on Dow Jones Islamic Market Indexes

Alexis Guyot ()
Additional contact information
Alexis Guyot: Audencia Recherche - Audencia Business School

Post-Print from HAL

Abstract: This paper analyzes both the market quality and price dynamics of a sample group of Islamic indexes. Our results highlight that efficient investment allocation is not compromised by the application of Shariah criteria. However, although few indexes impose an additional liquidity cost on investors, a vast majority of indexes present degrees of liquidity that are similar to conventional indexes. Ultimately, investors whose investment decisions are guided by religious principles do not bear significant additional costs of inefficiency but may have to accept that their portfolios are more sensitive to geopolitical events. However, Islamic indexes may contribute to the international diversification of investors' portfolios.

Keywords: cointegration; Dow Jones Islamic Market Indexes; geopolitical effects; market quality; Shariah (search for similar items in EconPapers)
Date: 2011-11
References: Add references at CitEc
Citations: View citations in EconPapers (35)

Published in Emerging Markets Finance and Trade, 2011, 47 (6), pp.24-45. ⟨10.2753/REE1540-496X470602⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-00841074

DOI: 10.2753/REE1540-496X470602

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().