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

Listed author(s):
  • EL AMRI Henda

    (ISG - University of Sousse, Tunisia)

  • HAMZA Taher

    (IHEC - University of Carthage, Tunisia)

Registered author(s):

    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.

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    File URL: http://eccsf.ulbsibiu.ro/RePEc/blg/journl/12104elamri&hamza.pdf
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    Article provided by Lucian Blaga University of Sibiu, Faculty of Economic Sciences in its journal Studies in Business and Economics.

    Volume (Year): 12 (2017)
    Issue (Month): 1 (April)
    Pages: 40-60

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    Handle: RePEc:blg:journl:v:12:y:2017:i:1:p:40-60
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    Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No 17, postal code 550324, Sibiu, Romania

    Phone: 004 0269 210375
    Fax: 004 0269 210375
    Web page: http://economice.ulbsibiu.ro/
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    1. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
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    10. Fikriyah Abdullah, 2007. "Investigation of performance of Malaysian Islamic unit trust funds: Comparison with conventional unit trust funds," Managerial Finance, Emerald Group Publishing, vol. 33(2), pages 142-153, January.
    11. Mohamed Albaity & Rubi Ahmad, 2008. "Performance of Syariah and Composite Indices: Evidence from Bursa Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 4(1), pages 23-43.
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