Abstract

http://ssrn.com/abstract=2033781
 
 

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


Kaouther Jouaber-Snoussi


Université Paris-Dauphine

Meriem Ben Salah


Caen University

Marie-Josèphe Rigobert


Ecole des Dirigeants et Créateurs d'entreprise (EDC)

August 1, 2012


Abstract:     
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.

Number of Pages in PDF File: 26

Keywords: Islamic indexes, Sharpe ratio, Spanning test

JEL Classification: C22, F21, G01, G10, G11, G32, Z12

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Date posted: April 3, 2012 ; Last revised: August 4, 2012

Suggested Citation

Jouaber-Snoussi, Kaouther and Ben Salah, Meriem and Rigobert, Marie-Josèphe, The Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexes (August 1, 2012). Available at SSRN: http://ssrn.com/abstract=2033781 or http://dx.doi.org/10.2139/ssrn.2033781

Contact Information

Kaouther Jouaber-Snoussi (Contact Author)
Université Paris-Dauphine ( email )
France
Meriem Ben Salah
Caen University ( email )
Esplanade de la Paix
Caen, 14000
France
Marie-Josèphe Rigobert
Ecole des Dirigeants et Créateurs d'entreprise (EDC) ( email )
70, galerie des Damiers - La Défense 1
92415 Courbevoie Cedex
France
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