The Performance of Islamic Market indexes in Extreme Events

Kaouther Jouaber (), Marie-Josèphe Rigobert () and Meriem Ben Salah ()
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Kaouther Jouaber: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: We use several measures to compare the performance of a large set of Dow Jones Islamic indexes to selected benchmarks. We test the performance over the whole period and then focus on extreme events. We identify extreme events as the 100 lowest and the 100 highest conventional World Indexes daily returns. We find that Islamic indexes exhibit different features from their conventional benchmarks and that the Islamic screening leads to significant differences in risk and excess return. We observe differences in relative performance of the Islamic indexes according to geographical areas and activity sectors. Unlike results of previous studies on performance in bear and bull markets, lowest and highest prices do not intensify the differences between Islamic and conventional indexes.

Keywords: Islamic Investement; Islamic indexes; Performance (search for similar items in EconPapers)
Date: 2011-12
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Published in Governance and Ethical Finance, Dec 2011, Paris, France. pp.23

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00676562

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