Performance of Shariah-Compliant Indices in London and NY Stock Markets and their potential for diversification

Islamic and Conventional Equity Market Movements During and After the Financial Crisis: Evidence from the Newly Launched MSCI Indices

“…In line with the findings of Kok et al. (), Hakim and Rashidian () applying cointegration and causality tests, found no long‐term relationship between the Dow Jones Islamic Market Index and a diversified conventional index. Using multivariate cointegration analysis, Girard and Hassan () suggest that the Islamic and conventional indices were poorly integrated from 1996 to 2005.…”

“…Based on these results, Milly and Sultan (2012) conclude that investing in Islamic stocks may be safer during periods of economic and financial distress. Kok et al (2009) find the absence of a long run relationship between Islamic and conventional indices of different regions. In line with the findings of Kok et al (2009), Hakim andRashidian (2002) applying cointegration and causality tests, found no long-term relationship between the Dow Jones Islamic Market Index and a diversified conventional index.…”

“…Kok et al. () find the absence of a long run relationship between Islamic and conventional indices of different regions. In line with the findings of Kok et al.…”

Islamic, socially responsible, and conventional market comovements: Evidence from stock indices

“…The majority of studies comparing Islamic and conventional stock indices have not found any statistically significant differences in performance (e.g., Bin Mahfouz & Hassan, ; Guyot, ; Hassan, Antoniou, & Paudyal, ). There are some studies that have shown Islamic stock indices outperforming conventional ones (Hussein & Omran, ; Milly & Sultan, ; Sukmana & Kholid, ), and a couple of studies underlining the overperformance of conventional counterparts for example, Kok, Giorgioni, & Laws, . During financial crises, Islamic indices tend to perform better than conventional counterparts (Ashraf & Mohammad, ), due to financial screenings that rule out firms with excessive leverage, and qualitative screenings that exclude conventional banks, insurance, and asset management companies.…”

The market timing ability and return performance of Islamic equities: An empirical study

“…Hakim and Rashidian (2004) suggest that the IEIs share distinctive risk-return characteristics that are not affected by broad equity market movements due to the application of Shari'ah-based screening criteria for the construction of such indices. Kok et al, (2009) Hussein and Omran (2005) found that the DJIM indices from 1996 to 2003 yielded statistically and economically significant positive abnormal returns. However, in a sub-period when the capital markets were generally falling, they found that IEIs underperformed compared to their conventional counterparts.…”