Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis

TY - JOUR

T1 - Examining the Performance of Islamic and Conventional Stock Indices

T2 - A Comparative Analysis

AU - Asutay, Mehmet

AU - Wang, Yumeng

AU - Avdukic, Alija

N1 - Publisher Copyright: © 2021, The Author(s).

PY - 2022/6

Y1 - 2022/6

N2 - Islamic indices encompass different fundamental principles to those held by conventional ones, which directs attention onto comparative financial performance. This paper offers a comprehensive performance comparison between Islamic indices and conventional indices, based on four main markets: worldwide, the US, Europe and Asia–Pacific for the period of 2007 and 2017 through financial ratio comparison and also the CAPM-EGARCH model. The main finding shows that Islamic indices yield higher average returns and lower risks during the 2007–2009 and 2013–2017 periods for all four markets, compared with respective conventional markets. During 2009–2013 period, the comparison proves inconclusive, since Islamic indices demonstrate better performance in European and Asia–Pacific markets, while conventional indices operate at an enhanced level within other markets. Overall, Islamic indices outperformed conventional indices during the global financial crisis period (2007–2009) and the latter post-crisis phase (2013–2017), especially in the European and Asia–Pacific markets.

AB - Islamic indices encompass different fundamental principles to those held by conventional ones, which directs attention onto comparative financial performance. This paper offers a comprehensive performance comparison between Islamic indices and conventional indices, based on four main markets: worldwide, the US, Europe and Asia–Pacific for the period of 2007 and 2017 through financial ratio comparison and also the CAPM-EGARCH model. The main finding shows that Islamic indices yield higher average returns and lower risks during the 2007–2009 and 2013–2017 periods for all four markets, compared with respective conventional markets. During 2009–2013 period, the comparison proves inconclusive, since Islamic indices demonstrate better performance in European and Asia–Pacific markets, while conventional indices operate at an enhanced level within other markets. Overall, Islamic indices outperformed conventional indices during the global financial crisis period (2007–2009) and the latter post-crisis phase (2013–2017), especially in the European and Asia–Pacific markets.

KW - CAPM-EGARCH model

KW - Conventional indices

KW - Financial ratios

KW - Islamic stock indices

KW - Systematic risk

UR - https://www.scopus.com/pages/publications/85115611133

U2 - 10.1007/s10690-021-09351-7

DO - 10.1007/s10690-021-09351-7

M3 - Article

AN - SCOPUS:85115611133

SN - 1387-2834

VL - 29

SP - 327

EP - 355

JO - Asia-Pacific Financial Markets

JF - Asia-Pacific Financial Markets

IS - 2

ER -