Ahmad Abu-Alkheil, Nizar Alsharari, Walayet Khan, Sara Ramzani, Phungmayo Horam
{"title":"研究符合伊斯兰教法的股票指数与传统股票指数的表现:19COVID 前、中、后的比较分析","authors":"Ahmad Abu-Alkheil, Nizar Alsharari, Walayet Khan, Sara Ramzani, Phungmayo Horam","doi":"10.18559/ebr.2024.2.1177","DOIUrl":null,"url":null,"abstract":"This study aims to conduct an empirical comparative analysis of the performance of Shari’ah and conventional stock indexes during the period 2017–2023, which includes the COVID-19 pandemic. Additionally, it aims to investigate investors’ preferences and analyse the long-term relationship of these indexes, as well as exploring the potential diversification benefits. The research methodology incorporates stochastic dominance analysis, the VARMAX procedure, and Johansen’s co-integration approach. The data utilized consists of 31 conventional and 31 Islamic stock indexes, specifically from the FTSE, DJ, MSCI, and S&P series.The results show that there are no long-term co-integration links between 30 out of 31 pairs of Islamic and conventional indexes. While conventional indexes tend to outperform Islamic indexes, they also come with a higher risk. On the other hand, Islamic indexes are considered to be less risky, offering potential diversification opportunities that may be attractive for global portfolios, particularly during periods of financial distress.","PeriodicalId":41557,"journal":{"name":"Economics and Business Review","volume":null,"pages":null},"PeriodicalIF":1.2000,"publicationDate":"2024-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Examining the performance of Shari’ah‑compliant versus conventional stock indexes: A comparative analysis pre-, during, and post-COVID-19\",\"authors\":\"Ahmad Abu-Alkheil, Nizar Alsharari, Walayet Khan, Sara Ramzani, Phungmayo Horam\",\"doi\":\"10.18559/ebr.2024.2.1177\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study aims to conduct an empirical comparative analysis of the performance of Shari’ah and conventional stock indexes during the period 2017–2023, which includes the COVID-19 pandemic. Additionally, it aims to investigate investors’ preferences and analyse the long-term relationship of these indexes, as well as exploring the potential diversification benefits. The research methodology incorporates stochastic dominance analysis, the VARMAX procedure, and Johansen’s co-integration approach. The data utilized consists of 31 conventional and 31 Islamic stock indexes, specifically from the FTSE, DJ, MSCI, and S&P series.The results show that there are no long-term co-integration links between 30 out of 31 pairs of Islamic and conventional indexes. While conventional indexes tend to outperform Islamic indexes, they also come with a higher risk. On the other hand, Islamic indexes are considered to be less risky, offering potential diversification opportunities that may be attractive for global portfolios, particularly during periods of financial distress.\",\"PeriodicalId\":41557,\"journal\":{\"name\":\"Economics and Business Review\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2024-06-07\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economics and Business Review\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.18559/ebr.2024.2.1177\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economics and Business Review","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.18559/ebr.2024.2.1177","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
Examining the performance of Shari’ah‑compliant versus conventional stock indexes: A comparative analysis pre-, during, and post-COVID-19
This study aims to conduct an empirical comparative analysis of the performance of Shari’ah and conventional stock indexes during the period 2017–2023, which includes the COVID-19 pandemic. Additionally, it aims to investigate investors’ preferences and analyse the long-term relationship of these indexes, as well as exploring the potential diversification benefits. The research methodology incorporates stochastic dominance analysis, the VARMAX procedure, and Johansen’s co-integration approach. The data utilized consists of 31 conventional and 31 Islamic stock indexes, specifically from the FTSE, DJ, MSCI, and S&P series.The results show that there are no long-term co-integration links between 30 out of 31 pairs of Islamic and conventional indexes. While conventional indexes tend to outperform Islamic indexes, they also come with a higher risk. On the other hand, Islamic indexes are considered to be less risky, offering potential diversification opportunities that may be attractive for global portfolios, particularly during periods of financial distress.