COMPARATIVE ANALYSIS OF KEY PERFORMANCE INDICATORS OF ISLAMIC INDEX

Year 2016, Volume: 38 Issue: 2, 273 - 291, 25.12.2016

Selin Sarılı Z. Dina Çakmur Yıldırtan

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

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

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