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Are There Causal Relationships Between Islamic Versus Conventional Equity Indices? International Evidence

Author

Listed:
  • EL AMRI Henda

    (ISG - University of Sousse, Tunisia)

  • HAMZA Taher

    (IHEC - University of Carthage, Tunisia)

Abstract

This paper investigates Islamic Versus Conventional market indexes’ performance. It analyzes also their short and long term relationship by testing cointegration, causality and impulse response functions. The sample period is from 2003 to 2011 and splited into 3 sub-periods: pre, during and post subprime crisis. Our findings provide evidence that first, index performance are somewhat mixed over the different period and through the different indices under consideration, and support the hypothesis that the impact of faith-based screens on investment performance is insignificant. Second, over the three sub-periods, there is no long run relationship between the Islamic indices and their conventional counterparts’ performance, except for the Islamic emerging markets indices. Third, in the short-run, we find different causal links between Islamic Versus non-Islamic indices over the three sub-periods. This finding is robust even after testing an impulse responses functions. Our findings have important implications for international portfolio diversification.

Suggested Citation

  • EL AMRI Henda & HAMZA Taher, 2017. "Are There Causal Relationships Between Islamic Versus Conventional Equity Indices? International Evidence," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 12(1), pages 40-60, April.
  • Handle: RePEc:blg:journl:v:12:y:2017:i:1:p:40-60
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    File URL: http://eccsf.ulbsibiu.ro/RePEc/blg/journl/12104elamri&hamza.pdf
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    References listed on IDEAS

    as
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