Risk Adjusted Performances of Conventional and Islamic Indices

Abba AHmed, Bello and Isah I, Salamatu and Aliyu Chika, Umar (2019): Risk Adjusted Performances of Conventional and Islamic Indices. Published in: Dutse Journal of Humanities and Social Sciences , Vol. 1, No. 3 (9 October 2019): pp. 45-61.

Abstract

The paper examined the risk-adjusted performance of Dow Jones and FTSE conventional and Islamic indices. The daily closing stock prices of 22 indices from January 2006 to December 2017 were selected from 11 countries comprising US, Europe, Canada, Japan, Turkey, Malaysia, China India, Qatar, Kuwait, and Taiwan. The returns of the series were first computed and then Sharpe ratio and Treynor index were used to analyze the data. It was clear that in some countries conventional indices out performed Islamic indices (US, Malaysia and Taiwan) whereas in others Islamic indices were better (EU, Kuwait, China and Qatar). The last category had inconclusive result this was because whereas the Sharpe ratio suggests a better performance of the conventional indices, on the contrary the Treynor ratio suggested that the Islamic indices performed better (Canada, Japan, Turkey and India).

• Item Type: MPRA Paper
• Language: English
• Keywords: Risk-adjusted measures, Islamic stock index, Conventional stock index, Sharpe ratio, Treynor index
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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