The Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexes
Jouaber, Kaouther; Ben Salah, Meriem; Rigobert, Marie-Josèphe (2012), The Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexes, Bankers, Markets & Investors, 121, p. 4-16
Type
Article accepté pour publication ou publiéExternal document link
http://dx.doi.org/10.2139/ssrn.2033781Date
2012-11Journal name
Bankers, Markets & InvestorsNumber
121Publisher
Groupe Banque
Pages
4-16
Metadata
Show full item recordAuthor(s)
Jouaber, KaoutherDauphine Recherches en Management [DRM]
Ben Salah, Meriem
Rigobert, Marie-Josèphe
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.Subjects / Keywords
Extreme returns; Jensen's alpha; Sharpe ratio; Spanning testJEL
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion ProcessesF21 - International Investment; Long-Term Capital Movements
G01 - Financial Crises
G10 - General
G11 - Portfolio Choice; Investment Decisions
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Z12 - Religion
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