Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks

Uddin, Gazi Salah; Hernandez, Jose Areola; Shahzad, Syed Jawad Hussain; Yoon, Seong‐Min

doi:10.1016/j.irfa.2018.01.008

Cited by 26 publications

(12 citation statements)

References 64 publications

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“…Moreover, some other papers found different performances in the short, medium and long term. Thus, for instance, [6] found higher efficiency in Islamic stocks in comparison with conventional stocks in the medium term but a lower efficiency in the short term. Furthermore, these outcomes imply that Islamic portfolios reduce the financial risk in investments and allow for diversification and hedging.…”

Section: Introduction and Literature Reviewmentioning

confidence: 93%

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

González¹,

Jareño²,

Haddouti³

2019

Sustainability

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This study compares the performance of sector portfolios from Islamic and conventional stock markets, using standard as well as current performance measures for a recent sample period between January 1996 and December 2015. Furthermore, to test the robustness of our analysis and to determine which type of portfolios offer better performance depending on the economic cycle, the full sample period is divided into three sub-sample periods: Before, during and after the recent global financial crisis. The three main outcomes of this research confirm that, first, the sector with the best performance results is Health Care, while the sector with the worst performance results is Financials for the Islamic as well as the conventional stock market. Second, the post-crisis sub-period exhibits the best performance not only in conventional but also in Islamic markets, confirming that portfolio performance depends on the economic stage and highlighting emerging signs of economic recovery. Third, Islamic sector portfolios, as a whole, show better performance than conventional sector portfolios for all performance measures—not just for the full period but also for the three sub-sample periods. The superior risk-adjusted returns of the Islamic sector portfolios, even during the recent global financial crisis, can be justified, among other reasons, by the moderated uncertainty and speculation, as well as the fact that Islamic finance prevents interest rates that have a negative impact on the economy. Thus, Sharia-compliant assets can contribute to improving the sustainability of unattractive performance portfolios during financial crises.

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Section: Introduction and Literature Reviewmentioning

confidence: 93%

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

González¹,

Jareño²,

Haddouti³

2019

Sustainability

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“…It can be argued that Islamic funds perform better in countries with a predominantly Muslim population. Although there can be more investment avenues for the Islamic funds in such countries, the notion of Muslim countries was debunked by Reddy et al (2017) and Uddin et al ( 2018 ). They provide evidence that Sharia-compliant funds and stocks perform better than conventional alternatives, even in the non-Muslim majority states.…”

Section: Introductionmentioning

confidence: 99%

The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing

Mirza

Rizvi

Saba

et al. 2022

International Review of Economics & Finance

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This paper analyses the risk-adjusted performance of Islamic and conventional equity funds during the COVID-19 pandemic. We show that Islamic equity funds demonstrated differentials in risk-adjusted performance, investment styles, and volatility timing compared to their conventional counterparts. Specifically, the results revealed that Islamic equity funds are more resilient to COVID-19 shock since they outperformed non-Islamic peers during the peak months of the pandemic. The trend continues even when the spread smoothens. These findings confirm the safe-haven properties of Islamic equity funds, which is helpful for investors aiming to hedge pandemic risks. The style analysis reveals investment drift from riskier styles to more prudent options in response to each stage's uncertainties. The results suggest policymakers should further investigate Islamic financial assets and their underlying principles to improve the resilience of economic systems in any future black swan events.

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“…It can be argued that Islamic funds perform better in countries with a predominantly Muslim population. Although there can be more investment avenues for the Islamic funds in such countries, the notion of Muslim countries was debunked by Reddy et al (2017) and Uddin et al (2018). They provide evidence that Sharia-compliant funds and stocks perform better than conventional alternatives, even in the non-Muslim majority states.…”

Section: Introductionmentioning

confidence: 99%

The Resilience of Islamic Equity Funds during COVID-19: Evidence from Risk Adjusted Performance, Investment Styles and Volatility Timing

et al. 2020

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Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks

Cited by 26 publications

References 64 publications

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing

The Resilience of Islamic Equity Funds during COVID-19: Evidence from Risk Adjusted Performance, Investment Styles and Volatility Timing

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