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- handle: 10670/1.r3fwp4
- halshs: halshs-00676562
Mots-clés
Islamic Investement Islamic indexes Performance C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes F - International Economics/F.F2 - International Factor Movements and International Business/F.F2.F21 - International Investment • Long-Term Capital Movements G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions G - Financial Economics/G.G3 - Corporate Finance and Governance/G.G3.G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill Z - Other Special Topics/Z.Z1 - Cultural Economics • Economic Sociology • Economic Anthropology/Z.Z1.Z12 - ReligionSujets proches
Bibliography--Indexes Dictionaries, indexes, etc IndicesCiter ce document
Kaouther Jouaber et al., « The Performance of Islamic Market indexes in Extreme Events », HAL-SHS : économie et finance, ID : 10670/1.r3fwp4
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Résumé
We use several measures to compare the performance of a large set of Dow Jones Islamic indexes to selected benchmarks. We test the performance over the whole period and then focus on extreme events. We identify extreme events as the 100 lowest and the 100 highest conventional World Indexes daily returns. We find that Islamic indexes exhibit different features from their conventional benchmarks and that the Islamic screening leads to significant differences in risk and excess return. We observe differences in relative performance of the Islamic indexes according to geographical areas and activity sectors. Unlike results of previous studies on performance in bear and bull markets, lowest and highest prices do not intensify the differences between Islamic and conventional indexes.