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

26 Pages Posted: 3 Apr 2012 Last revised: 21 Jun 2015

Kaouther Jouaber-Snoussi

Université Paris Dauphine

Meriem Ben Salah

Caen University

Marie-Josèphe Rigobert

School of Management and Company founders (EDC)

Date Written: 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.

Keywords: Islamic indexes, Sharpe ratio, Spanning test

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

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: https://ssrn.com/abstract=2033781 or http://dx.doi.org/10.2139/ssrn.2033781

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

School of Management and Company founders (EDC) ( email )

70, galerie des Damiers - La Défense 1
92415 Courbevoie Cedex
France

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