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Efficiency and Dynamics of Islamic Investment: Evidence of Geopolitical Effects on Dow Jones Islamic Market Indexes

Author

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  • Alexis Guyot

    () (Audencia Recherche - Audencia)

Abstract

This paper analyzes both the market quality and price dynamics of a sample group of Islamic indexes. Our results highlight that efficient investment allocation is not compromised by the application of Shariah criteria. However, although few indexes impose an additional liquidity cost on investors, a vast majority of indexes present degrees of liquidity that are similar to conventional indexes. Ultimately, investors whose investment decisions are guided by religious principles do not bear significant additional costs of inefficiency but may have to accept that their portfolios are more sensitive to geopolitical events. However, Islamic indexes may contribute to the international diversification of investors' portfolios.

Suggested Citation

  • Alexis Guyot, 2011. "Efficiency and Dynamics of Islamic Investment: Evidence of Geopolitical Effects on Dow Jones Islamic Market Indexes," Post-Print hal-00841074, HAL.
  • Handle: RePEc:hal:journl:hal-00841074
    DOI: 10.2753/REE1540-496X470602
    Note: View the original document on HAL open archive server: http://hal-audencia.archives-ouvertes.fr/hal-00841074
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    Cited by:

    1. repec:eee:intfin:v:51:y:2017:i:c:p:190-208 is not listed on IDEAS
    2. Uddin, Gazi Salah & Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2018. "Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 167-180.
    3. El Mehdi, Imen Khanchel & Mghaieth, Asma, 2017. "Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 595-611.
    4. repec:eee:pacfin:v:52:y:2018:i:c:p:134-143 is not listed on IDEAS
    5. repec:eee:quaeco:v:66:y:2017:i:c:p:212-224 is not listed on IDEAS
    6. Ashraf, Dawood & Khawaja, Mohsin, 2016. "Does the Shariah screening process matter? Evidence from Shariah compliant portfolios," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 77-92.
    7. Alexakis, Christos & Pappas, Vasileios & Tsikouras, Alexandros, 2017. "Hidden cointegration reveals hidden values in Islamic investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 70-83.
    8. Mohammad, Nazeeruddin & Ashraf, Dawood, 2015. "The market timing ability and return performance of Islamic equities: An empirical study," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 169-183.
    9. El khamlichi, Abdelbari & HOANG, Thi Hong Van & Wong, Wing-Keung, 2017. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," MPRA Paper 76282, University Library of Munich, Germany.
    10. Mensi, Walid & Tiwari, Aviral Kumar & Yoon, Seong-Min, 2017. "Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 135-146.
    11. Dawood Ashraf, 2016. "Does Shari’ah Screening Cause Abnormal Returns? Empirical Evidence from Islamic Equity Indices," Journal of Business Ethics, Springer, vol. 134(2), pages 209-228, March.
    12. repec:kap:apfinm:v:25:y:2018:i:4:d:10.1007_s10690-018-9249-2 is not listed on IDEAS

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