İslami ve Geleneksel Endeks Performanslarının Karşılaştırılması Üzerine Bir Araştırma

Abstract

Islamic finance has become an important component of the international financial system. Although the very recent experience of Islamic finance was 40 years ago it is growing by 30% since 2000. Despite the growing interest in Islamic finance and Islamic capital markets, there are a few empirical studies that examine the performance of Islamic equity investing in the literature. As can be seen from the literature, the relations between Islamic and conventional indices vary according to the period and country of study. In some studies, it is suggested that Islamic indices have lower risk and volatility, but also lower return than the conventional indices in the periods of decline. In other studies, exact opposite results were obtained. However, when an overall assessment is made, it is widely regarded that Islamic indices are more stable under bear market conditions and more suitable for portfolio diversification. The purpose of this study is to compare the return performances of Islamic and conventional indices. The paper studies the impact of Sharia s creening on the performance of an index. The paper aims to answer the following question: Do Islamic indexes achieve lower returnlevelswhencomparedt otheir counterparts?Accordingtothefindings of this study and in accordance with most of the literature, there is no significant difference between the returns of Islamic and conventional indices. Also when the mean returns are compared between Islamic indices and their counterparts, it's been observed that all of the Islamic indices show higher performance than their counterparts.

Performance of Msci Islamic Indices: A Comparative Study of Malaysia and Gulf Countries

“…Comparing the performances of Islamic and conventional Dow Jones and Morgan Stanley indices created for Turkey between 2005-2015, Ata and Buğan (2015), while using the ADF unit root test and causality analysis, found a strong causal relationship between the positive and negative shocks of the Dow Jones market indices during the crisis period under study. A similar study was conducted by Tükenmez et al (2019), in which the authors compared the return performances of Islamic and conventional indices from 2010 to 2019. They found that Islamic indices performed better than their counterparts.…”

“…Many empirical studies have explored Islamic Indices' performance in different parts of the world, such as Tükenmez et al (2019), Aisjah andHadianto (2013), andJabeen et al (2018). Some studies that have focused on the performance of Islamic indices between different countries have found varying results.…”