Shariah compliant stock indexes: A long-term perspective
Author(s)
Bianchi, Robert
Drew, Michael
Nathie, Mahmood
Year published
2015
Metadata
Show full item recordAbstract
This study considers the performance of U.S. shariah compliant share indexes over the long
-
term. Despi
te their relatively short empirical history, we re
-
construct shariah compliant index
returns by mapping their monthly performance to well recognised systematic risk factors from
1927
-
2011. The findings reveal that these indices are exposed to moderate mark
et beta, large cap
and growth stock risk factors. The long
-
term analysis suggests there are no significant
performance differences between the returns from shariah stock indices and the ...
View more >This study considers the performance of U.S. shariah compliant share indexes over the long - term. Despi te their relatively short empirical history, we re - construct shariah compliant index returns by mapping their monthly performance to well recognised systematic risk factors from 1927 - 2011. The findings reveal that these indices are exposed to moderate mark et beta, large cap and growth stock risk factors. The long - term analysis suggests there are no significant performance differences between the returns from shariah stock indices and the broad U.S. market, even across different U.S. economic and monetary co nditions. The findings suggest that shariah compliant investors can deliver similar return and risk characteristics as broad U.S. stocks without compromising their faith based beliefs.
View less >
View more >This study considers the performance of U.S. shariah compliant share indexes over the long - term. Despi te their relatively short empirical history, we re - construct shariah compliant index returns by mapping their monthly performance to well recognised systematic risk factors from 1927 - 2011. The findings reveal that these indices are exposed to moderate mark et beta, large cap and growth stock risk factors. The long - term analysis suggests there are no significant performance differences between the returns from shariah stock indices and the broad U.S. market, even across different U.S. economic and monetary co nditions. The findings suggest that shariah compliant investors can deliver similar return and risk characteristics as broad U.S. stocks without compromising their faith based beliefs.
View less >
Journal Title
The Canadian Journal of Islamic Economics & Islamic Finance
Volume
1
Issue
1
Publisher URI
Subject
Finance