Faith-based ethical investing : the case of dow jones Islamic indexes
Joint Authors
Source
Issue
Vol. 17, Issue 2 (31 Jan. 2010), pp.1-31, 31 p.
Publisher
Islamic Development Bank (IDB) Islamic Research and Training Institute (IRTI)
Publication Date
2010-01-31
Country of Publication
Saudi Arabia
No. of Pages
31
Main Subjects
Topics
Abstract EN
This paper examines the performance of seven indexes chosen from the Dow Jones Islamic Market Index (DJIM) vis-à-vis their non-Islamic counterparts using a variety of measures such as Sharpe, Treynor, Jenson and Fama’s selectivity, net selectivity and diversification.
Second, we examine the persistence of performance using Carhart’s (1997) four factor pricing models.
Third, we use co-integration to examine how the Islamic indexes compare to their non-Islamic counterparts.
The sample period is from January 1996 to December 2005 (120 data points).
It is further broken down into two sub-periods-i.
e, January 1996 to December 2000 (60 data points) and January 2001 to December 2006 (60 data points).
We find no difference between Islamic and non-Islamic indexes.
The Dow Jones Islamic indexes outperform their conventional counterparts from 1996 to 2000 and underperform them from 2001 to 2005.
Overall, similar reward to risk and diversification benefits exist for both the Islamic and conventional indexes.
American Psychological Association (APA)
Hasan, Kabir M.& Jirar, Eric. 2010. Faith-based ethical investing : the case of dow jones Islamic indexes. Islamic Economic Studies،Vol. 17, no. 2, pp.1-31.
https://search.emarefa.net/detail/BIM-351268
Modern Language Association (MLA)
Hasan, Kabir M.& Jirar, Eric. Faith-based ethical investing : the case of dow jones Islamic indexes. Islamic Economic Studies Vol. 17, no. 2 (Jan. 2010), pp.1-31.
https://search.emarefa.net/detail/BIM-351268
American Medical Association (AMA)
Hasan, Kabir M.& Jirar, Eric. Faith-based ethical investing : the case of dow jones Islamic indexes. Islamic Economic Studies. 2010. Vol. 17, no. 2, pp.1-31.
https://search.emarefa.net/detail/BIM-351268
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 27-31
Record ID
BIM-351268