Islamic investing

Walkshäusl, Christian and Lobe, Sebastian,(2012), Islamic investing. , Review of Financial Economics, UNSPECIFIED

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Using a large international sample of 35 developed and emerging markets, we analyze whether Islamic indices exhibit a different performance to conventional benchmarks. While there is no compelling evidence of performance differences in robust Sharpe ratio tests and after controlling for market risk, we find a significantly positive four-factor alpha for the aggregate developed markets region. This outperformance stems, however, mainly from the U.S. and is largely attributable to the exclusion of financial stocks in Shariascreened portfolios. As the extensive downturn of financials is related to the recent financial crisis, we do not argue that this outperformance will continue over time. The style analysis reveals that Islamic indices invest mainly in growth stocks and positive momentum stocks. This, for a passive portfolio intriguing result can, however, be explained by the strong sector allocation towards energy firms and their strong momentum characteristic during the sample period.
Keywords : Islamic finance; Sharia-compliant investments; Asset pricing; Performance evaluation; International markets, UNSPECIFIED
Journal or Publication Title: Review of Financial Economics
Volume: 21
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Heru Prastyo
Date Deposited: 23 Dec 2019 08:18
Last Modified: 23 Dec 2019 08:18

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