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Persistence of Performance Using the Four-Factor Pricing Model: Evidence from Dow Jones Islamic Index

Author

Listed:
  • Abdelbari El Khamlichi
  • Mohamed Arouri
  • Frédéric Teulon

Abstract

Despite the increasing attention to ethical investments, the empirical studies on Islamic indices are scarce. The main goal of this article is to investigate whether Dow Jones Islamic index 100 titans (DJI100) delivers persistent performance. Using the Ca

Suggested Citation

  • Abdelbari El Khamlichi & Mohamed Arouri & Frédéric Teulon, 2014. "Persistence of Performance Using the Four-Factor Pricing Model: Evidence from Dow Jones Islamic Index," Working Papers 2014-216, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-216
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_216.pdf
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    References listed on IDEAS

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    Cited by:

    1. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
    2. repec:ipg:wpaper:2014-604 is not listed on IDEAS
    3. repec:ipg:wpaper:2014-401 is not listed on IDEAS
    4. Rizwan Ahmed & Fatima Yusuf & Maria Ishaque, 2024. "Green bonds as a bridge to the UN sustainable development goals on environment: A climate change empirical investigation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2428-2451, April.
    5. repec:ipg:wpaper:2014-566 is not listed on IDEAS
    6. repec:ipg:wpaper:2014-581 is not listed on IDEAS
    7. repec:ipg:wpaper:2014-531 is not listed on IDEAS
    8. repec:ipg:wpaper:2014-599 is not listed on IDEAS
    9. repec:ipg:wpaper:2014-448 is not listed on IDEAS
    10. repec:ipg:wpaper:2014-393 is not listed on IDEAS
    11. repec:ipg:wpaper:2014-413 is not listed on IDEAS
    12. repec:ipg:wpaper:2014-505 is not listed on IDEAS
    13. repec:ipg:wpaper:2014-487 is not listed on IDEAS

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    More about this item

    Keywords

    persistence; Islamic indices; performance; four-factor model;
    All these keywords.

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