GLOBAL PORTFOLIO PERFORMANCE: A COMPARATIVE ANALYSIS OF CONVENTIONAL AND ISLAMIC INDICES

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dc.contributor.authorBELLO, Abba Ahmed
dc.date.accessioned2021-08-27T08:43:46Z
dc.date.available2021-08-27T08:43:46Z
dc.date.issued2021-05
dc.descriptionA 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, NIGERIAen_US
dc.description.abstractThe 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.en_US
dc.identifier.urihttp://hdl.handle.net/123456789/12595
dc.language.isoenen_US
dc.subjectGLOBAL PORTFOLIO PERFORMANCE,en_US
dc.subjectCOMPARATIVE ANALYSIS,en_US
dc.subjectCONVENTIONAL,en_US
dc.subjectISLAMIC INDICES.en_US
dc.titleGLOBAL PORTFOLIO PERFORMANCE: A COMPARATIVE ANALYSIS OF CONVENTIONAL AND ISLAMIC INDICESen_US
dc.typeThesisen_US
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