Risk-adjusted return performance on a screened index: An empirical investigation of a Shariah screened index and a non-screened index
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This paper investigates whether an Islamic screened benchmark index shows a different risk adjusted performance in comparison to a non-screened benchmark index. In contrast to other papers this study analyzes daily observations in the years from 2007 to 2012, a period heavily affected by the financial crisis. The Capital Asset Pricing Model and the Jensen measure of abnormal returns are used to estimate and compare the indexes mean risk-adjusted returns. The results show that the Islamic index does not reveal any different level of daily mean risk-adjusted returns compared to the conventional non-screened index. Hence, Muslims who align their investments according to the teachings of Islam are not worse off than non-restricted investors following the screened Islamic index.
Place, publisher, year, edition, pages
2012. , 24 p.
Islamic finance, Islamic Index, Conventional index, CAPM, Sharpe ratio, Treynor index, Performance, DJIM, NASDAQ, S&P.
IdentifiersURN: urn:nbn:se:hj:diva-20110OAI: oai:DiVA.org:hj-20110DiVA: diva2:578099
Subject / course
UppsokSocial and Behavioural Science, Law