The Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexes
Université Paris Dauphine
Meriem Ben Salah
Ecole des Dirigeants et Créateurs d'entreprise (EDC)
August 1, 2012
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, Z12working papers series
Date posted: April 3, 2012 ; Last revised: August 4, 2012
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