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The Performance of Islamic Market indexes in Extreme Events

Author

Listed:
  • Kaouther Jouaber

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Marie-Josèphe Rigobert
  • Meriem Ben Salah

Abstract

We use several measures to compare the performance of a large set of Dow Jones Islamic indexes to selected benchmarks. We test the performance over the whole period and then focus on extreme events. We identify extreme events as the 100 lowest and the 100 highest conventional World Indexes daily returns. We find that Islamic indexes exhibit different features from their conventional benchmarks and that the Islamic screening leads to significant differences in risk and excess return. We observe differences in relative performance of the Islamic indexes according to geographical areas and activity sectors. Unlike results of previous studies on performance in bear and bull markets, lowest and highest prices do not intensify the differences between Islamic and conventional indexes.

Suggested Citation

  • Kaouther Jouaber & Marie-Josèphe Rigobert & Meriem Ben Salah, 2009. "The Performance of Islamic Market indexes in Extreme Events," Post-Print halshs-00676592, HAL.
    • Handle: RePEc:hal:journl:halshs-00676592
    as

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