paper

PACFIN-00647; No of Pages 12
Pacific-Basin Finance Journal xxx (2013) xxx–xxx

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Pacific-Basin Finance Journal journal homepage: www.elsevier.com/locate/pacfin

Performance of global Islamic versus conventional share indices:
International evidence
Catherine Soke Fun Ho ⁎,1, Nurul Afiqah Abd Rahman,
Noor Hafizha Muhamad Yusuf, Zaminor Zamzamin
Universiti Teknologi MARA, Malaysia

a r t i c l e

i n f o

Article history:
Received 27 August 2013
Accepted 23 September 2013
Available online xxxx
JEL classification:
G11
G15
G23
Keywords:
Index performance
Islamic finance
Risk-adjusted performance

a b s t r a c t
This paper provides empirical evidence on risk-adjusted performance comparisons of share indices from Islamic and conventional markets. To ensure valid comparisons, the selected Islamic indices are matched with conventional indices. The Treasury-bill rate and the MSCI All-World index are used as risk-free rate and world benchmark, respectively.
Monthly returns are analyzed and four sub-periods are examined as crisis and non-crisis periods. Findings reveal that Islamic indices outperformed their conventional counterparts during crisis periods but results are inconclusive for the non-crisis periods. This could be due to the conservative nature of Shari 'ah-compliant investments offering investors superior investment alternative during crisis.
© 2013 Elsevier B.V. All rights reserved.

1. Introduction
The markets for both conventional and ethics-filtered investments have developed rapidly as new investment instruments over the last two decades. These investments have not only expanded in the conventional capital and money markets but also in the recently-developing Islamic financial markets.
Over the past decade, the global capital market scene has witnessed the introduction of Islamic indices, which are designed to filter out the stocks in conventional indices in accordance with

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