PERFORMANCE OF SYARIAH AND COMPOSITE INDICES: EVIDENCE FROM BURSA MALAYSIA

Mohamed Shikh Abubaker Albaity · Rubi Binti Ahmad

141 citations0/0 files storedRePEc: Research Papers in Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Islamic Finance and Banking Studies Financial Markets and Investment Strategies Stock Market Forecasting Methods

Abstract

This study provides new evidence on the risk and return performance of the Kuala Lumpur Syariah Index (KLSI) and the Kuala Lumpur Composite Index (KLCI). An Islamic stock market index such as KLSI selects stocks according to Islamic laws, and thus has a more stringent screening process than its conventional counterpart, KLCI. Our results, however, provide no evidence of significant statistical differences in risk-adjusted returns between Islamic and conventional stock market indices during 1999–2005. We also employ the causality and Johansen cointegration tests to examine their short- and long-run relationships. Besides a significant short-run presence of bidirectional causality, the long-term equilibrium indicates that both indices move in tandem. This suggests that the movement in KLCI gives a good indication as to where KLSI will move in the short-run and long-run. Therefore, prediction of one based on the other is constructive.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 141 citations exist upstream.

References

1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1994The Sharpe Ratio 1993Doing Well While Doing Good? The Investment Performance of Socially Responsible Mutual Funds 1987How Many Stocks Make a Diversified Portfolio?2005Evaluating the Performance of Ethical and Non‐ethical Funds: A Matched Pair Analysis 1997The impact of social‐responsibility screens on investment performance: Evidence from the Domini 400 social index and Domini Equity Mutual Fund 1995THE FINANCIAL PERFORMANCE OF ETHICAL INVESTMENT FUNDS 2005Ethical investing in Australia: Is there a financial penalty?

Cited by

2013On the comparative performance of socially responsible and Islamic mutual funds 2020The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis 2014Does Shari’ah Screening Cause Abnormal Returns? Empirical Evidence from Islamic Equity Indices 2013Do ethics imply persistence? The case of Islamic and socially responsible funds 2011Efficiency and Dynamics of Islamic Investment: Evidence of Geopolitical Effects on Dow Jones Islamic Market Indexes

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.