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Risk-adjusted return performance on a screened index : An empirical investigation of a Shariah screened index and a non-screened index

This paper investigates whether an Islamic screened benchmark index shows a different risk adjusted performance in comparison to a non-screened benchmark index. In contrast to other papers this study analyzes daily observations in the years from 2007 to 2012, a period heavily affected by the financial crisis. The Capital Asset Pricing Model and the Jensen measure of abnormal returns are used to estimate and compare the indexes mean risk-adjusted returns. The results show that the Islamic index does not reveal any different level of daily mean risk-adjusted returns compared to the conventional non-screened index. Hence, Muslims who align their investments according to the teachings of Islam are not worse off than non-restricted investors following the screened Islamic index.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hj-20110
Date January 2012
Creatorself, andreas, Gonzalez Riffo, Eduardo
PublisherInternationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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