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Performance of global Islamic versus conventional share indices: International evidence

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  • Ho, Catherine Soke Fun
  • Abd Rahman, Nurul Afiqah
  • Yusuf, Noor Hafizha Muhamad
  • Zamzamin, Zaminor

Abstract

This paper provides empirical evidence on risk-adjusted performance comparisons of share indices from Islamic and conventional markets. To ensure valid comparisons, the selected Islamic indices are matched with conventional indices. The Treasury-bill rate and the MSCI All-World index are used as risk-free rate and world benchmark, respectively. Monthly returns are analyzed and four sub-periods are examined as crisis and non-crisis periods. Findings reveal that Islamic indices outperformed their conventional counterparts during crisis periods but results are inconclusive for the non-crisis periods. This could be due to the conservative nature of Shari'ah-compliant investments offering investors superior investment alternative during crisis.

Suggested Citation

  • Ho, Catherine Soke Fun & Abd Rahman, Nurul Afiqah & Yusuf, Noor Hafizha Muhamad & Zamzamin, Zaminor, 2014. "Performance of global Islamic versus conventional share indices: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 110-121.
    • Handle: RePEc:eee:pacfin:v:28:y:2014:i:c:p:110-121
    DOI: 10.1016/j.pacfin.2013.09.002
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    More about this item

    Keywords

    Index performance; Islamic finance; Risk-adjusted performance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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