Performance of IsalmicEthical Investment
Karhula, Markus (2010)
Kuvaus
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Tiivistelmä
The purpose of this study is to investigate the performance of Islamic Ethical Investment during the financial crisis times. The study compares Dow Jones Islamic Market Index and Dow Jones World Index during financial crisis of Asia 1997, Russia 1998 and The Subprime 2007-2009. The meaning of the study is to find out does the DJ Islamic Market index performs better than the DJ World index. DJ Islamic Market index measures worldwide the performance of companies that are screened through Islamic Shari´ah law.
The data of the indexes was from Vaasa University data library. During the periods of financial crisis the performance of the indexes were measured with Fama-French multifactor model. The factors for the model were from Kenneth French data library. The crisis times were highlighted with the Volatility index VIX.
The results show that Dow Jones Islamic Market Index gives abnormal returns of 0,43% during all the crisis periods. During Asian financial crisis 0,46%, during The Subprime crisis 0,35%. Results from Russian financial crisis were not significant. The results cannot be generalized as for all crisis periods because Russian financial crisis gave different results. The Information considering Asian and Subprime crisis were interesting. The better results might come from the leverage prohibition of Islamic Market Index
The data of the indexes was from Vaasa University data library. During the periods of financial crisis the performance of the indexes were measured with Fama-French multifactor model. The factors for the model were from Kenneth French data library. The crisis times were highlighted with the Volatility index VIX.
The results show that Dow Jones Islamic Market Index gives abnormal returns of 0,43% during all the crisis periods. During Asian financial crisis 0,46%, during The Subprime crisis 0,35%. Results from Russian financial crisis were not significant. The results cannot be generalized as for all crisis periods because Russian financial crisis gave different results. The Information considering Asian and Subprime crisis were interesting. The better results might come from the leverage prohibition of Islamic Market Index