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The Performance Ranking of Emerging Markets Islamic Indices Using Risk Adjusted Performance Measures

Author

Listed:
  • Yildiz Selim

    (Université Manisa Celal Bayar Turquie)

  • Abdelbari El Khamlichi

    (CleRMa - Clermont Recherche Management - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand - UCA [2017-2020] - Université Clermont Auvergne [2017-2020])

Abstract

This paper evaluates the performance of Emerging Market (EM) Morgan Stanley Capital International (MSCI) Islamic indices of 20 countries located in 3 different regions; using 16 different risk adjusted performance measures (RAPMs). The conducted tests show that only Sharpe and M2 Ratios give the identical rankings, Pearson Linear Correlation Coefficient analysis was also performed to measure the correlation between the rankings of 16 RAPMs. The final rankings of the indices are obtained using the Borda count method. Our results suggest that, on a regional basis, the performances of Asian countries are found to be better than both Latin American and EMEA (Europe, Middle East and Africa) region countries. When the countries are examined individually, EM Colombia Islamic index comes first in the assessment; EM United Arab Emirates Islamic index comes at the last position.
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Suggested Citation

  • Yildiz Selim & Abdelbari El Khamlichi, 2017. "The Performance Ranking of Emerging Markets Islamic Indices Using Risk Adjusted Performance Measures," Post-Print hal-01653400, HAL.
    • Handle: RePEc:hal:journl:hal-01653400
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    References listed on IDEAS

    as
    1. Alexis Guyot, 2011. "Efficiency and Dynamics of Islamic Investment: Evidence of Geopolitical Effects on Dow Jones Islamic Market Indexes," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(6), pages 24-45, November.
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    11. M. E. Arouri & H. Ben Ameur & N. Jawadi & F. Jawadi & W. Louhichi, 2013. "Are Islamic finance innovations enough for investors to escape from a financial downturn? Further evidence from portfolio simulations," Applied Economics, Taylor & Francis Journals, vol. 45(24), pages 3412-3420, August.
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    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets

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