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The Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexes

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Date
2012-11
Link to item file
http://dx.doi.org/10.2139/ssrn.2033781
Dewey
Economie financière
Sujet
Extreme returns; Jensen's alpha; Sharpe ratio; Spanning test
JEL code
C.C2.C22; F.F2.F21; G.G0.G01; G.G1.G10; G.G1.G11; G.G3.G32; Z.Z1.Z12
Journal issue
Bankers, Markets & Investors
Number
121
Publication date
11-2012
Article pages
4-16
Publisher
Groupe Banque
URI
https://basepub.dauphine.fr/handle/123456789/11283
Collections
  • DRM : Publications
Metadata
Show full item record
Author
Jouaber, Kaouther
1032 Dauphine Recherches en Management [DRM]
Ben Salah, Meriem
Rigobert, Marie-Josèphe
Type
Article accepté pour publication ou publié
Abstract (EN)
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.

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