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Performance of Syariah and Composite Indices: Evidence from Bursa Malaysia

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Author Info

  • Mohamed Albaity

    ()
    (Department of Banking and Finance, Faculty of Business and Accountancy, University of Malaya, 50603 Kuala Lumpur, Malaysia)

  • Rubi Ahmad

    (Department of Banking and Finance, Faculty of Business and Accountancy, University of Malaya, 50603 Kuala Lumpur, Malaysia)

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    Abstract

    This study provides new evidence on the risk and return performance of the Kuala Lumpur Syariah Index (KLSI) and the Kuala Lumpur Composite Index (KLCI). An Islamic stock market index such as KLSI selects stocks according to Islamic laws, and thus has a more stringent screening process than its conventional counterpart, KLCI. Our results, however, provide no evidence of significant statistical differences in risk-adjusted returns between Islamic and conventional stock market indices during 1999–2005. We also employ the causality and Johansen cointegration tests to examine their short- and long-run relationships. Besides a significant short-run presence of bidirectional causality, the long-term equilibrium indicates that both indices move in tandem. This suggests that the movement in KLCI gives a good indication as to where KLSI will move in the short-run and long-run. Therefore, prediction of one based on the other is constructive.

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    File URL: http://web.usm.my/journal/aamjaf/vol4-1-2008/4-1-2.pdf
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    Bibliographic Info

    Article provided by Penerbit Universiti Sains Malaysia in its journal Asian Academy of Management Journal of Accounting and Finance.

    Volume (Year): 4 (2008)
    Issue (Month): 1 ()
    Pages: 23-43

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    Handle: RePEc:usm:journl:aamjaf00401_23-43

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    Web page: http://web.usm.my/aamj/
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    Related research

    Keywords: Islamic compliant stocks; Islamic index; Syariah index;

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    Cited by:
    1. Abdelsalam, Omneya & Duygun, Meryem & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2014. "Do ethics imply persistence? The case of Islamic and socially responsible funds," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 182-194.
    2. Walkshäusl, Christian & Lobe, Sebastian, 2012. "Islamic investing," Review of Financial Economics, Elsevier, vol. 21(2), pages 53-62.
    3. Abdelbari El Khamlichi & Kabir Sarkar Humayun & Mohamed Arouri & Frédéric Teulon, 2014. "Are Islamic equity indices more efficient than their conventional counterparts ? Evidence from major global index families," Working Papers 2014-091, Department of Research, Ipag Business School.

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