Islamic Market Index Behavior and Performance: Empirical Evidence from Dow Jones Market Indexes
The main objective of the study is to empirically investigate the impact of the Conventional stock market index on the Islamic stock market index and the comparative performance of the two stock market indexes. For the purpose of the study, daily observations of Dow Jones Islamic Market US Titans 50...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Ala-Too International University
2022-05-01
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| Series: | Eurasian Journal of Business and Economics |
| Subjects: | |
| Online Access: | https://ejbe.org/EJBE2022Vol15No29p051-DJEDOVIC-KHALLAF.pdf |
| _version_ | 1811240484316643328 |
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| author | Irfan DJEDOVIĆ Hisham KHALLAF |
| author_facet | Irfan DJEDOVIĆ Hisham KHALLAF |
| author_sort | Irfan DJEDOVIĆ |
| collection | DOAJ |
| description | The main objective of the study is to empirically investigate the impact of the Conventional stock market index on the Islamic stock market index and the comparative performance of the two stock market indexes. For the purpose of the study, daily observations of Dow Jones Islamic Market US Titans 50 (DJUS50) and Dow Jones Composite Index (DJA) spanning a period from January 2015 until December 2021 are obtained from the Investing.com database. Risk-adjusted performance, VAR model, granger-causality test, generalized impulse response functions, and Johansen cointegration tests are used to investigate the behavior and performance of the Islamic market index empirically. Results based on risk-adjusted performance indicate that the Islamic market index performs better than the Conventional market index. Furthermore, the results suggest no long-run association between the indexes, while there is short-run bidirectional causality. This study will contribute both to the literature and practice. It will contribute to the already existing literature through the usage of the newest data, while the practical implication will help investors to better understand the behavior of the Islamic stock market index. |
| first_indexed | 2024-04-12T13:20:04Z |
| format | Article |
| id | doaj.art-c933c0c1977047b5af8cd61f368e823c |
| institution | Directory Open Access Journal |
| issn | 1694-5948 1694-5972 |
| language | English |
| last_indexed | 2024-04-12T13:20:04Z |
| publishDate | 2022-05-01 |
| publisher | Ala-Too International University |
| record_format | Article |
| series | Eurasian Journal of Business and Economics |
| spelling | doaj.art-c933c0c1977047b5af8cd61f368e823c2022-12-22T03:31:31ZengAla-Too International UniversityEurasian Journal of Business and Economics1694-59481694-59722022-05-011529516610.17015/ejbe.2022.029.04Islamic Market Index Behavior and Performance: Empirical Evidence from Dow Jones Market IndexesIrfan DJEDOVIĆ0Hisham KHALLAF1International Burch UniversityInternational Burch UniversityThe main objective of the study is to empirically investigate the impact of the Conventional stock market index on the Islamic stock market index and the comparative performance of the two stock market indexes. For the purpose of the study, daily observations of Dow Jones Islamic Market US Titans 50 (DJUS50) and Dow Jones Composite Index (DJA) spanning a period from January 2015 until December 2021 are obtained from the Investing.com database. Risk-adjusted performance, VAR model, granger-causality test, generalized impulse response functions, and Johansen cointegration tests are used to investigate the behavior and performance of the Islamic market index empirically. Results based on risk-adjusted performance indicate that the Islamic market index performs better than the Conventional market index. Furthermore, the results suggest no long-run association between the indexes, while there is short-run bidirectional causality. This study will contribute both to the literature and practice. It will contribute to the already existing literature through the usage of the newest data, while the practical implication will help investors to better understand the behavior of the Islamic stock market index.https://ejbe.org/EJBE2022Vol15No29p051-DJEDOVIC-KHALLAF.pdfconventional stock market indexislamic stock market indexgranger- causalitygeneralized impulse-response functionsrisk-adjusted performance |
| spellingShingle | Irfan DJEDOVIĆ Hisham KHALLAF Islamic Market Index Behavior and Performance: Empirical Evidence from Dow Jones Market Indexes Eurasian Journal of Business and Economics conventional stock market index islamic stock market index granger- causality generalized impulse-response functions risk-adjusted performance |
| title | Islamic Market Index Behavior and Performance: Empirical Evidence from Dow Jones Market Indexes |
| title_full | Islamic Market Index Behavior and Performance: Empirical Evidence from Dow Jones Market Indexes |
| title_fullStr | Islamic Market Index Behavior and Performance: Empirical Evidence from Dow Jones Market Indexes |
| title_full_unstemmed | Islamic Market Index Behavior and Performance: Empirical Evidence from Dow Jones Market Indexes |
| title_short | Islamic Market Index Behavior and Performance: Empirical Evidence from Dow Jones Market Indexes |
| title_sort | islamic market index behavior and performance empirical evidence from dow jones market indexes |
| topic | conventional stock market index islamic stock market index granger- causality generalized impulse-response functions risk-adjusted performance |
| url | https://ejbe.org/EJBE2022Vol15No29p051-DJEDOVIC-KHALLAF.pdf |
| work_keys_str_mv | AT irfandjedovic islamicmarketindexbehaviorandperformanceempiricalevidencefromdowjonesmarketindexes AT hishamkhallaf islamicmarketindexbehaviorandperformanceempiricalevidencefromdowjonesmarketindexes |