Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region

Detalhes bibliográficos
Autor(a) principal: Abadi, Rasha Tawfiq Yousif
Data de Publicação: 2022
Outros Autores: Silva, Florinda
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/1822/75180
Resumo: This paper investigates the performance of Islamic fundamental weighted (FW) portfolios compared to that of non-Islamic counterparts, to examine whether Shari'ah-compliant stocks can protect investors during crises in the Middle East and North Africa region. Portfolios' performance is assessed using several risk-adjusted performance measures including more robust measures in the context of recently developed multi-factor models. The study's findings suggest that the performance of Islamic and non-Islamic FW portfolios depends on the performance measures used and on the periods under analysis. Both Islamic and non-Islamic FW portfolios underperform against the cap-weighted benchmark. Furthermore, the Islamic portfolios underperform compared to their non-Islamic counterparts during the period of the global financial crisis, while they perform similarly to their non-Islamic counterparts during the Arab Spring period. Based on these results, we conclude that Islamic FW portfolios do not seem to protect investors from losses during crises.
id RCAP_8442d04c15e4c15bb8480be71ecaf1f1
oai_identifier_str oai:repositorium.sdum.uminho.pt:1822/75180
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA regionIslamic fundamental weighted portfoliosArab springGlobal financial crisisMENA marketsCiências Sociais::Economia e GestãoSocial SciencesThis paper investigates the performance of Islamic fundamental weighted (FW) portfolios compared to that of non-Islamic counterparts, to examine whether Shari'ah-compliant stocks can protect investors during crises in the Middle East and North Africa region. Portfolios' performance is assessed using several risk-adjusted performance measures including more robust measures in the context of recently developed multi-factor models. The study's findings suggest that the performance of Islamic and non-Islamic FW portfolios depends on the performance measures used and on the periods under analysis. Both Islamic and non-Islamic FW portfolios underperform against the cap-weighted benchmark. Furthermore, the Islamic portfolios underperform compared to their non-Islamic counterparts during the period of the global financial crisis, while they perform similarly to their non-Islamic counterparts during the Arab Spring period. Based on these results, we conclude that Islamic FW portfolios do not seem to protect investors from losses during crises.This work was carried out within the funding with COMPETE reference no POCI-01-0145-FEDER006683, with the FCT/MEC's (Fundacaopara a Ciencia e a Tecnologia, I.P.) financial support through national funding and by the ERDF through the Operational Programme on "Competitiveness and Internationalization COMPETE 2020 under the PT2020 Partnership Agreement".Springer HeidelbergUniversidade do MinhoAbadi, Rasha Tawfiq YousifSilva, Florinda20222022-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/75180engAbadi, R.T., Silva, F. Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region. Eurasian Econ Rev (2020). https://doi.org/10.1007/s40822-020-00158-x1309-422X2147-429X10.1007/s40822-020-00158-xhttps://link.springer.com/article/10.1007%2Fs40822-020-00158-xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:37:42Zoai:repositorium.sdum.uminho.pt:1822/75180Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:34:02.237733Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region
title Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region
spellingShingle Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region
Abadi, Rasha Tawfiq Yousif
Islamic fundamental weighted portfolios
Arab spring
Global financial crisis
MENA markets
Ciências Sociais::Economia e Gestão
Social Sciences
title_short Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region
title_full Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region
title_fullStr Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region
title_full_unstemmed Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region
title_sort Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region
author Abadi, Rasha Tawfiq Yousif
author_facet Abadi, Rasha Tawfiq Yousif
Silva, Florinda
author_role author
author2 Silva, Florinda
author2_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Abadi, Rasha Tawfiq Yousif
Silva, Florinda
dc.subject.por.fl_str_mv Islamic fundamental weighted portfolios
Arab spring
Global financial crisis
MENA markets
Ciências Sociais::Economia e Gestão
Social Sciences
topic Islamic fundamental weighted portfolios
Arab spring
Global financial crisis
MENA markets
Ciências Sociais::Economia e Gestão
Social Sciences
description This paper investigates the performance of Islamic fundamental weighted (FW) portfolios compared to that of non-Islamic counterparts, to examine whether Shari'ah-compliant stocks can protect investors during crises in the Middle East and North Africa region. Portfolios' performance is assessed using several risk-adjusted performance measures including more robust measures in the context of recently developed multi-factor models. The study's findings suggest that the performance of Islamic and non-Islamic FW portfolios depends on the performance measures used and on the periods under analysis. Both Islamic and non-Islamic FW portfolios underperform against the cap-weighted benchmark. Furthermore, the Islamic portfolios underperform compared to their non-Islamic counterparts during the period of the global financial crisis, while they perform similarly to their non-Islamic counterparts during the Arab Spring period. Based on these results, we conclude that Islamic FW portfolios do not seem to protect investors from losses during crises.
publishDate 2022
dc.date.none.fl_str_mv 2022
2022-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/1822/75180
url https://hdl.handle.net/1822/75180
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Abadi, R.T., Silva, F. Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region. Eurasian Econ Rev (2020). https://doi.org/10.1007/s40822-020-00158-x
1309-422X
2147-429X
10.1007/s40822-020-00158-x
https://link.springer.com/article/10.1007%2Fs40822-020-00158-x
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer Heidelberg
publisher.none.fl_str_mv Springer Heidelberg
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799132860639084544

Registros relacionados