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Risk Adjusted Performances of Conventional and Islamic Indices

Bello Abba AHmed, Salamatu Isah I and Umar Aliyu Chika

MPRA Paper from University Library of Munich, Germany

Abstract: The paper examined the risk-adjusted performance of Dow Jones and FTSE conventional and Islamic indices. The daily closing stock prices of 22 indices from January 2006 to December 2017 were selected from 11 countries comprising US, Europe, Canada, Japan, Turkey, Malaysia, China India, Qatar, Kuwait, and Taiwan. The returns of the series were first computed and then Sharpe ratio and Treynor index were used to analyze the data. It was clear that in some countries conventional indices out performed Islamic indices (US, Malaysia and Taiwan) whereas in others Islamic indices were better (EU, Kuwait, China and Qatar). The last category had inconclusive result this was because whereas the Sharpe ratio suggests a better performance of the conventional indices, on the contrary the Treynor ratio suggested that the Islamic indices performed better (Canada, Japan, Turkey and India).

Keywords: Risk-adjusted measures; Islamic stock index; Conventional stock index; Sharpe ratio; Treynor index (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2019-02-03, Revised 2019-05-26
New Economics Papers: this item is included in nep-isf and nep-sea
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Published in Dutse Journal of Humanities and Social Sciences 3.1(2019): pp. 45-61

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