Is the Performance of Conventional and Shariah-Compliant Portfolios Two Sides of the Same Coin? Evidence from Bursa Malaysia

Abstract

This study arises from the rapid global growth of the Shariah-compliant financial services industry and the evident paucity of research on the direct comparison between a conventional portfolio and a Shariah-compliant portfolio. Therefore, this study undertakes to investigate the differences in the performance between a hypothetical conventional portfolio and a hypothetical Shariah-compliant portfolio on Bursa Malaysia over the 1 December 2005-28 February 2018 examination period. The examination period is divided into: (1) the overall period (1 December 2005-28 February 2018); (2) the bullish 1 period (1 December 2005-30 June 2007); (3) the crisis period (1 July 2007-28 February 2009); (4) the bullish 2 period (1 March 2009-30 June 2014); and (5) the consolidation period (1 July 2014-28 February 2018). The risk and return characteristics, the risk-adjusted return measures, the return correlation measure, and the sample paired t-test are the performance evaluations employed in this research. The results revealed that the performance of the conventional and Shariah-compliant portfolios was broadly similar in different economic regimes.

Value Stocks versus Growth Stocks: An Examination of Bursa Malaysia

“…Therefore, this research recalculates the risk, return, and risk-adjusted return for value and growth portfolios in different company sizes during the GFC in 2007/2008. According to Rohuma (2023), the GFC period in Bursa Malaysia was from July 2007 to February 2009 (20 months). Table 2 presents the results for value and growth stocks in different company size categories.…”