Published
2021-04-19
Issue
Section
Articles
How to Cite
Performance and Risks: Islamic Indices Compared to Conventional Indices
Jamal Agouram
LISAD-ENSA, Ibn zohr University, Agadir, Morocco.
http://orcid.org/0000-0002-1574-1464
Jamaa Anoualigh
Faculty of Law, Economics and Social Sciences, Ibn zohr University, Agadir, Morocco.
http://orcid.org/0000-0002-3914-0129
Lhoucine Ben Hssain
LISAD-ENSA, Ibn zohr University, Agadir, Morocco.
https://orcid.org/0000-0001-9027-0300
Ghizlane Lakhnati
LISAD-ENSA, Ibn zohr University, Agadir, Morocco.
http://orcid.org/0000-0001-9016-7741
DOI: https://doi.org/10.20448/journal.501.2021.81.17.26
Keywords: Conditional value-at-risk, Dow Jones world index (DJW), GARCH (1,1), Islamic investment, Performance, Value-at-risk.
Abstract
Islamic finance is very successful in the global market, and leading traditional index providers have expanded their range and are now offering a multitude of Islamic indices to facilitate the rapid development of Islamic finance, especially Sharia-compliant funds. We will evaluate and analyze both the Islamic and non-Islamic indices and their volatility, considering Islamic finance's rise in popularity. The first purpose of this research is to establish a comparison and then analyze the results of the performance of the Dow Jones World Index (DJW) and its Islamic counterparts. The analysis of the outcomes will be in terms of performance measures. On the basis of the total risk, we will then compare the Dow Jones World Index and its Islamic counterparts. This risk would usually be captured by both Value-at-Risk and Conditional Value-at-Risk. The purpose of this paper is to demonstrate whether Islamic indices are higher than the conventional index and whether the overall risk for Islamic indices is lower than for the conventional index.