محاولة لقياس أداء مؤشرات الأسهم الإسلامية : دراسة تطبيقية على مؤشرات داو جونس الإسلامي

الملخص EN

The purpose of this study is measure efficiency of Dow Jones Islamic Indices.

For this object we use Sharpe ratio, Treynor ratio and Jensen's Alpha to estimate the efficiency of Dow Jones Islamic Indices in four (04) regions: Asia, Europe, USA and World, and for predicate returns of those indices we used Generalized Autoregressive Conditional Heteroscedasticity model to estimate Jensen's Alpha equation.

Our principle findings are: The financial performance of indices is fitfully, and the financial performance of Islamic Indices is nearly of those Benchmarks, the result of modeling Islamic Indices retunes showed that 80% of changes in Islamic Dow Jones indices explained by the changes in Industrial Dow Jones.