GLOBAL PORTFOLIO PERFORMANCE: A COMPARATIVE ANALYSIS OF CONVENTIONAL AND ISLAMIC INDICES
GLOBAL PORTFOLIO PERFORMANCE: A COMPARATIVE ANALYSIS OF CONVENTIONAL AND ISLAMIC INDICES
No Thumbnail Available
Date
2021-05
Authors
BELLO, Abba Ahmed
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
The study examined the global portfolio performances of conventional and Islamic
indices. This study used the 5-day weekly closing stock prices of 22 major global Islamic
and conventional indices of Dow Jones and FTSE from 11 countries comprising, US,
EU, Canada, Kuwait, Qatar, Malaysia, Japan, China, Turkey, India, and Taiwan. The
other set of data used were the United States macroeconomic data comprising Brent oil
price, Economic Uncertainty Index, Federal Funds Rate, Volatility Fear Index, three
months T-bills, inflation rate, and broad money supply (M2). All the data were for the
period 1st January 2006 to 31st December 2017. The analytical methods employed were
Johansen Co-integration Test, VECM, ARCH, GARCH, EGARCH and TARCH models,
Sharpe ratio and Treynor Index. The study found that there was a long run relationship
between the conventional and Islamic indices, broad market index and US
macroeconomic variables. The presence of leverage effect amongst all the indices
suggests that bad news has greater influence on the price of the stocks than good news.
However, the impact of the US macroeconomic variables on the volatility of the indices
was not statistically significant. The ARCH in mean results suggests that the risk
component was not significant in determining investment decisions for both the
conventional and Islamic indices. In terms of risk-adjusted performance there was no
clear result as to which index was less risky. The study recommends that Investors
should be concerned with the movements of US macroeconomic variables as the
yardstick for the expected returns of Dow Jones and FTSE in the selected countries. It is
also important for investors to monitor changes in the monetary and fiscal policies in
the respective countries as well as the corporate performances of the firms in each country.
Description
A THESIS SUBMITTED TO THE SCHOOL OF POSTGRADUATE STUDIES
AHMADU BELLO UNIVERSITYIN PARTIAL FULFILLMENT OF THE
REQUIREMENTS FOR THE AWARD OF DOCTOR OF PHILOSOPHY IN
ECONOMICS
DEPARTMENT OF ECONOMICS,
FACULTY OF EDUCATION,
AHMADU BELLO UNIVERSITY,
ZARIA, NIGERIA
Keywords
GLOBAL PORTFOLIO PERFORMANCE,, COMPARATIVE ANALYSIS,, CONVENTIONAL,, ISLAMIC INDICES.