دراسة مقارنة بين أداء المحفظة التقليدية و أداء المحفظة الإسلامية في بورصة ماليزيا

Abstract EN

The main objective of this paper is to examine the impact of Shariah principles on the performance of Islamic stocks listed on Bursa Malaysia.

It compares between the performance of hypothetical portfolio consisting of conventional stocks and hypothetical portfolio consisting of Islamic stocks over the examination period from 1 December 2005 to 30 November 2017.

The examination period was divided into five periods, namely, (1) the overall period; (2) the bullish 1 period; (3) the global financial crisis period; (4) the bullish 2 period; and (5) the consolidation period.

The analysis was conducted by employing the risk and return characteristics, risk-adjusted return measures, return correlation analysis, and the Sample paired t-test analysis.

Although there were some differences in the performance between the two kinds of portfolios, the results revealed that in general, the performance of the conventional portfolio and its Islamic counterpart was similar in different economic regimes, and hence, the Shariah restrictions in the investments did not have a negative impact on the performance of the Islamic portfolio in Bursa Malaysia.