Comparative Performance Analysis of USA Islamic Equity Market Indexes with Diverse Screening Criteria
Journal Title: Qlantic Journal of Social Sciences and Humanities - QJSSH - Year 2024, Vol 5, Issue 4
Abstract
The performance comparison of Islamic and conventional indexes has often been marred by inconsistent index selection, leading to in-generalizable and misleading conclusions. A common misconception is attributing the performance differences of Islamic indexes primarily to their unique screening criteria without ensuring consistency in index choice. This study addresses this gap by empirically examining the impact of quantitative screens on the performance of Islamic indexes, ensuring consistency in their selection. Monthly data from January 2008 to December 2016 for Islamic indexes provided by MSCI, FTSE, Dow Jones, and S&P is analyzed using performance measures such as the Information Ratio and Sharpe Ratio. Results reveal significant variations in the performance of Islamic indexes’ after adjusting for risk. Furthermore, indexes with lower aggregate debt tend to experience smaller gains in bullish markets and more minor losses in bearish markets, indicating a leverage effect. These findings provide insights into the performance dynamics of Islamic indexes and highlight the importance of consistent methodology in comparative studies.
Authors and Affiliations
Muhammad Shariq Muhammad Naveed Jan Faisal Kamal
Keywords
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- EP ID EP758657
- DOI 10.55737/qjssh.v-iv.24279
- Views 1
- Downloads 0
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