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Equanimity of Risk and Return Relationship between Shariah Index and General Index in India

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  • M Dharani

Abstract

The present study empirically examines the risk and return of the Nifty Shariah index and Nifty index during the period 2nd January 2007 to 31st December 2010. The sample period is further divided into bull market period and bear market period based on the movement of the both indices during the study period. The objective of the study is to analyse the performance of the Islamic index and common index and to test whether any significant difference between both indices in India. Based on the previous studies, the present paper employs Risk adjusted measurement such as Sharpe index, Treynor Index and Jensen alpha. The t- test is used to test the mean returns difference between both indices. The study found that Nifty Shariah has been underperformed during the sample and sub sample period. According to ttest, the mean difference between both indices has not been significant which reveals both are consistent. The risk adjusted returns for the both indices reveals that both were underperforming with respect to risk free rate of return. The study has also disclosed the low volatile nature of Nifty Shariah than Nifty index. Finally, the study concludes that Nifty Shariah and Nifty indices in India are performing in a similar manner.

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  • M Dharani, 2011. "Equanimity of Risk and Return Relationship between Shariah Index and General Index in India," Journal of Economics and Behavioral Studies, AMH International, vol. 2(5), pages 213-222.
    • Handle: RePEc:rnd:arjebs:v:2:y:2011:i:5:p:213-222
    DOI: 10.22610/jebs.v2i5.239
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    Cited by:

    1. Shumi Akhtar & Maria Jahromi & Tom Smith, 2017. "Risk, return and mean-variance efficiency of Islamic and non-Islamic stocks: evidence from a unique Malaysian data set," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(1), pages 3-46, March.
    2. Zia-ur-Rehman Rao & Muhammad Zubair Tauni & Amjad Iqbal, 2015. "Comparison between Islamic and General Equity Funds of Pakistan: Difference in Their Performances and Fund Flow Volatility," Emerging Economy Studies, International Management Institute, vol. 1(2), pages 211-226, November.
    3. Charles, Amélie & Darné, Olivier & Pop, Adrian, 2015. "Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes," Research in International Business and Finance, Elsevier, vol. 35(C), pages 33-56.
    4. Renu Jonwall & Seema Gupta & Shuchi Pahuja, 2024. "Do socially responsible indices outperform conventional indices? Evidence from before and after the onset of Covid‐19," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(5), pages 4995-5011, September.
    5. Priya Malhotra & Pankaj Sinha, 2023. "Exchange-traded Funds in India Amid COVID-19 Crisis: An Empirical Analysis of the Performance," Metamorphosis: A Journal of Management Research, , vol. 22(1), pages 38-54, June.
    6. Irfan Djedovic & Edin Djedovic, 2019. "Risk-Reward Trade Off And Behavior Of Islamic And Conventional Stock Market Indices In Bosnia And Herzegovina," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 17(2), pages 3-13, November.
    7. Dharani, M. & Hassan, M. Kabir & Paltrinieri, Andrea, 2019. "Faith-based norms and portfolio performance: Evidence from India," Global Finance Journal, Elsevier, vol. 41(C), pages 79-89.
    8. Alhomaidi, Asem & Hassan, M. Kabir & Hippler, William J. & Mamun, Abdullah, 2019. "The impact of religious certification on market segmentation and investor recognition," Journal of Corporate Finance, Elsevier, vol. 55(C), pages 28-48.
    9. Asem Alhomaidi & M. Kabir Hassan & William J. Hippler, 2018. "The Effect of Implicit Market Barriers on Stock Trading and Liquidity," NFI Working Papers 2018-WP-02, Indiana State University, Scott College of Business, Networks Financial Institute.
    10. Chowdhury, Mohammad Ashraful Ferdous & Masih, Mansur, 2015. "Socially responsible investment and Shariah-compliant investment compared: Can investors benefit from diversification? An ARDL approach," MPRA Paper 65828, University Library of Munich, Germany.
    11. Ooi, Chai-Aun & Setiawan, Doddy & Hooy, Chee-Wooi, 2021. "Muslim CEOs and bank risk-taking: Evidence from Indonesia," Global Finance Journal, Elsevier, vol. 50(C).
    12. Abdelsalam, Omneya & Duygun, Meryem & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2014. "Do ethics imply persistence? The case of Islamic and socially responsible funds," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 182-194.

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