ISLAMIC STOCK MARKET VERSUS CONVENTIONAL STOCK MARKET

Bakri Abdul · Muhd Hafiz Mohd

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

Abstract

This paper examines the performance of Malaysian Islamic stock market and conventional stock market using risk adjusted return measurements (Sharpe ratio, Treynor ratio, Adjusted Jensen’s Alpha Index Performance and Modified Sharpe Ratio) from January 2000 to October 2011. In addition, we also examine the dynamic causality between the two stock markets. Daily data were divided into four periods such as pre-subprime financial crisis, during the subprime financial crisis, post subprime financial crisis and full sample period. This study shows that the Islamic stock market produced more return compared to conventional in all sample periods. Besides, this study also finds that there is significant short-run bidirectional causality between two markets. The findings of this study can provide useful implications for investors and policy makers in Malaysia.

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References

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