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Risk-adjusted return performance on a screened index: An empirical investigation of a Shariah screened index and a non-screened index
Jönköping University, Jönköping International Business School, JIBS, Economics.
Jönköping University, Jönköping International Business School, JIBS, Economics.
2012 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.
Keyword [en]
Islamic finance, Islamic Index, Conventional index, CAPM, Sharpe ratio, Treynor index, Performance, DJIM, NASDAQ, S&P.
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-20110OAI: oai:DiVA.org:hj-20110DiVA: diva2:578099
Subject / course
IHH, Economics
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2013-03-08 Created: 2012-12-17 Last updated: 2013-03-08Bibliographically approved

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Risk-adjusted return performance(989 kB)805 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf