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Performance of Islamic indices : The opportunity for non-muslim countries

by Sarina Preechalert

Title:

Performance of Islamic indices : The opportunity for non-muslim countries

Author(s):

Sarina Preechalert

Advisor:

Anukul Chiralaksanakul

Degree name:

Doctor of Philosophy

Degree level:

Doctoral

Degree discipline:

Finance

Degree department:

School of Business Administration

Degree grantor:

National Institute of Development Administration

Issued date:

2015

Digital Object Identifier (DOI):

10.14457/NIDA.the.2015.47

Publisher:

National Institute of Development Administration

Abstract:

Hitherto, comparative study of Islamic finance in both non-Muslim and Muslim countries is scarce. This is including the area of investment in Islamic equity portfolio in non-Muslim countries. Consequently, it is interesting to study performance comparison of investment in Islamic financial products such as Islamic indices created by Muslim and non-Muslim countries. Results obtained from this research will be useful for investors as investment information and for Islamic and non-Islamic countries alike to create investment alternatives such as Islamic financial products or funds.
This research mainly focuses the investigation on performance and characteristics between the conventional country indices and the Islamic indices from MSCI indices as proxy of Islamic funds and equity investments. The scope of the study involves the investigation on the performance and benefit of country indices under Islamic screening criteria using average raw returns and risk-adjusted returns, co-integration approach and variance ratio analysis. The study also examines the effect on the performance of country characteristics and Islamic factor in sample indices by focus to Islamic indices’ returns only and test by mean difference test, the post hoc test, and regression analysis.
The results of research show the opportunity in non-Muslim countries for Islamic indices investment in which they gave the higher average return and lower risk than conventional indices. The factors that are related to the difference in average return are the characteristics of being Muslim or non-Muslim country, level of Islamic financial development and the Shariah law application in country.
The implication of this research is to provide an evidence of Islamic investment, Islamic funds, and other equity investments. Also, this research contributes to the knowledge about performance and the benefit of Islamic equity investment in other environment beside Islamic world. This would help to confirm benefit of Islamic indices and Islamic investment in non-Muslim countries and can understand the characteristic of Islamic investment whether it is more like the country characteristics or distinct from them.

Description:

Dissertation (Ph.D. (Finance))--National Institute of Development Administration, 2015

Subject(s):

Islands -- Economic conditions
Risk

Keyword(s):

Index performance
Islamic finance
Risk-adjusted performance

Resource type:

Dissertation

Extent:

155 leaves.

Type:

Text

File type:

application/pdf

Language:

eng

Rights:

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

URI:

http://repository.nida.ac.th/handle/662723737/3696
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ทรัพยากรสารสนเทศทั้งหมดในคลังปัญญา ใช้เพื่อประโยชน์ทางการเรียนการสอนและการค้นคว้าเท่านั้น และต้องมีการอ้างอิงแหล่งที่มาทุกครั้งที่นำไปใช้ ห้ามดัดแปลงเนื้อหา และทำสำเนาต่อ รวมถึงไม่ให้อนุญาตนำไปใช้ประโยชน์เพื่อการค้า ไม่ว่ากรณีใด ๆ ทั้งสิ้น



This item appears in the following Collection(s)

  • GSBA: Dissertations [30]

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Except where otherwise noted, content on this site is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International license.

Copyright © National Institute of Development Administration | สถาบันบัณฑิตพัฒนบริหารศาสตร์
Library and Information Center | สำนักบรรณสารการพัฒนา
Email: NIDAWR@nida.ac.th    Chat: Facebook Messenger    Facebook: NIDAWisdomRepository
 

 

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