COMPARATIVE ANALYSIS OF KEY PERFORMANCE INDICATORS OF ISLAMIC INDEX

Year 2016, , 273 - 291, 25.12.2016

Selin Sarılı Z. Dina Çakmur Yıldırtan

https://doi.org/10.14780/muiibd.281413

Cited By: 1

Abstract

Islamic index in general is the stock exchange index that includes stocks traded in the national and

international market, the companies operating in accordance with Islamic law. First in 1990, it was

introduced in the US Wall Street Stock Exchange. Islamic indices have a great importance to be able to

measure the stock performance of companies operating in accordance with Islamic principles. In this

study Standard and Poor’s, Dow Jones, Morgan Stanley, and the Financial Times Stock Exchange Islamic

Indices have been included in the study on a monthly frequency and to compare the performance beta

values are estimated by creating the index single index model. In the study using the Capital Asset

Pricing Models (CAPM), expected return for indices were estimated. In addition, to compare portfolio

performance Sharpe Ratio, Treynor Ratio, Jensen Performance Ratio is calculated.

Keywords

Islamic indices, CAPM, Sharpe, Treynor, Jensen

References

• ABD-KARİM, Mohd, R. B., Analysing the Characteristics and Performance of Islamic Funds: A Critical View of the Malaysian Case, Durham University, E-Thesis, 2010.
• AL-ZOUBİ, Haitham A. and Maghyereh, Aktham I., The relative performance of Islamic finance: a new guide to less risky investments. International Journal of Theoretical and Applied Finance. 10(2), 2006, pp. 235-249.
• AYUP, Muhammed, Understanding Islamic Finance, John Wiley and Sons Pub., England, 2007.
• DOW JONES INDICES, Guide to the Dow Jones Islamic Market Indexes, A CME Group Company, US, August 2011.
• ELING, Martin and Schuhmacher, Frank, Does the choice of performance measure influence the evaluation of hedge funds?, Journal of Banking and Finance, 31, 2007, 2632-2647.
• ERNST&YOUNG, The World Islamic Banking Competitiveness Report, 2012-2013.
• GRINBLATT, Mark and Titman Sheridan, Mutual Fund Performance: An Analysis of Quarterly Portfolio Holding, Journal of Business, 62(3), 1989, 393-416.
• FINANCIAL TIMES STOCK EXCHANGE, FTSE Shariah Global Equity Index Series, London, September 2015.
• HAKİM, Sam and Rashidian, Manochehr, Risk and return of Islamic stock market indexes. Proceedings of the international seminar of nonbank financial institutions: Islamic alternatives. Kuala Lumpur, Malaysia, 2004.
• HASHIM, Noor, The FTSE Global Islamic and the Risk Dilemma. AIUB Bus Econ Working Paper Series, No 2008-08, http://orp.aiub.edu/WorkingPaper/WorkingPaper.aspx?year=2008.
• HASSAN, Kabir, Risk, Return and Volatility of Faith-Based Investing; The Case of the Dow Jones Islamic Index, Proceedings of the Fifth Harvard University Forum on Islamic Finance: Islamic Finance: Dynamics and Development Cambridge, Massachusetts. Center for Middle Eastern Studies, Harvard University, 2000, pp.43-67.
• HUSSEIN, Khaled A., Ethical Investment: Empirical Evidence From FTSE Islamic Index, Islamic Economic Studies 12(1), 2004.
• HUSSEIN, Khaled A., Islamic Investment: Evidence from Dow Jones and FTSE Indices, 6th International Conference on Islamic Economics and Banking, Jakarta, Indonesia, November, 2005.
• HUSSEİN, Khaled and Omran, Mohammed, Ethical investment revisited: evidence from Dow Jones Islamic indexes. Journal of Investing 14(3), 2005, pp. 105-119.
• IQBAL, Zamir and Mirakhor, Abbas, An introduction to Islamic finance: theory and practice. Singapore: John Wiley & Sons (Asia) Pte Ltd., 2007.
• JENSEN, Michael C., The Performance of Mutual Funds in the Period of 1945-1964, Journal of Finance, Vol. 23, pp.389-419.
• KAMALİ, Mohammad Hashim, Islamic commercial law: an analysis of futures and options. Cambridge: The Islamic Text Society, 2000.
• KHAMLICHI, Abdelbari El, Sarkar, Kabir, Arouri, Mohamed, and Teulon, Frédéric, Are Islamic Equity Indices More Efficient Than Their Conventional Counterparts? Evidence From Major Global Index Families, The Journal of Applied Business Research, 30(4), 2014.
• MANNAN, Mansur and Credit Suisse, Islamic Capital Markets, Islamic Finance: A Guide for International Business and Investment, Consultant Editor: Roderick Millar Editor: Habiba Anwar, GMB Publishing, United Kingdom and United States of America, 2008.
• MSCI ISLAMIC INDEX SERIES METHODOLOGY, Index Methodology, MSCI Islamic Index Series, US, March, 2014.
• Securities Commission, List of Securities Approved by the Shari’ah Advisory Council of the Securities Commission, Securities Commission, Kuala Lumpur, 24 October 2002.
• SHAHID, Muhammad, Measuring Portfolio Performance, U.U.D.M. Project Report,19, 2007.
• SHANMUGAM, Bala and Zahari, Zaha Rina, A Primer on Islamic Finance, The Research Foundation of CFA Institute, 2009.
• S&P DOW JONES INDICES METHODOLOGY, S&P BSE 500 Shariah Methodology, Asia Index Pvt.Ltd., McGraw Hill Financial, April, 2015.
• SHARPE, William, Mutual Fund Performance, Journal of Business, 39, 1966, 119-138.
• TREYNOR, Jack L., How to Rate Management of Investment Funds, Harvard Business Review, Vol.43, 1965, pp.63-75.
• USMANİ, Muhammad Taqi, An introduction to Islamic finance. The Netherlands: Kluwer Law International, 2002.
• VOGEL, Frank E. and Hayes, Samuel L., Islamic law and finance: religion, risk and return. The Netherlands: Kluwer Law International, 1998.
• VASSEUX, Mathieu, The Next Chapter in Islamic Finance, Oliver Wyman,2009, http://www.oliverwyman.com/pdf_files/OW_En_FS_PUBL_2009_IslamicFinance.pdf; 17.06.2015.