The Performance of Syariah and Composite Indices: Evidence from Kuala Lumpur Stock Market

25 Pages Posted: 23 Aug 2007

See all articles by Rubi Ahmad

Rubi Ahmad

University of Malaya (UM)

Mohamed S. Albaity

University of Malaya (UM)

Date Written: 2006

Abstract

The paper investigates the performance of Kuala Lumpur Syariah index against its counterpart index, namely the Composite index. Performance measures such as Sharpe ratio, Treynor index, Beta, and Jensen alpha are used as well as Time series techniques such as unit root, cointegration, and VECM and Granger causality to investigate the long and short run relationship. Using daily data, the results suggest that there is no statistical difference in mean return between both indices. In addition, KLCI is found to have higher returns and risk than KLSI. In term of cointegration and causality, it is concluded that both indices are integrated of order one and cointegrated. Moreover, there is bidirectional causality between them.

Keywords: Islamic, Syariah, KLSI

Suggested Citation

Ahmad, Rubi and Albaity, Mohamed S., The Performance of Syariah and Composite Indices: Evidence from Kuala Lumpur Stock Market (2006). Available at SSRN: https://ssrn.com/abstract=1008840 or http://dx.doi.org/10.2139/ssrn.1008840

Rubi Ahmad (Contact Author)

University of Malaya (UM) ( email )

Kuala Lumpur, Wilayah Persekutuan 50603
University of Malaya (UM)
Kuala Lumpur, Wilayah Persekutuan 50603
Malaysia
+603 79673961 (Phone)

Mohamed S. Albaity

University of Malaya (UM) ( email )

Kuala Lumpur, Wilayah Persekutuan 50603
University of Malaya (UM)
Kuala Lumpur, Wilayah Persekutuan 50603
Malaysia

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