Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes
作者： M. Kabir Hassan , Eric Girard
DOI: 10.2139/SSRN.1808853
关键词:
摘要: This paper examines the performance of seven indexes chosen from Dow Jones Islamic Market Index (DJIM) vis-a-vis their non-Islamic counterparts using a variety measures such as Sharpe, Treynor, Jensen and Fama’s selectivity, net selectivity diversification. Second, we examine persistence Carhart’s (1997) four factor pricing models. Third, use cointegration to how compare counterparts. The sample period is January 1996 December 2005 (120 data points). It further broken down into two sub-periods: 2000 (60 points) 2001 2006 We find no difference between indexes. outperform conventional underperform them 2005. Overall, similar reward risk diversification benefits exist for both
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