Performance measurement analysis : Shariah-compliant vs. Non Shariah-compliant securities / Mohd Allif Anwar and Norli Ali

Abu Bakar, Mohd Allif Anwar and Ali, Norli (2014) Performance measurement analysis : Shariah-compliant vs. Non Shariah-compliant securities / Mohd Allif Anwar and Norli Ali. Malaysian Accounting Review, 13 (1). pp. 75-108. ISSN 1675-4077

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Official URL: https://mar.uitm.edu.my/

Abstract

Using the sample of 107 shariah-compliant and non shariah-compliant securities in Malaysia from January 1990 to December 2011, we examine their performances by applying the performance measure of Jensen Alpha Index and Treynor Index. The sample period is divided into four segments
of pre AFC (Asian Financial Crisis), during AFC, post AFC and Subprime Mortgage Crisis. Our results showed that the performance of shariah compliant securities tend to be indifferent with non shariah-compliant securities. However, the performance of both portfolios is significantly different between the four segments of pre AFC, during AFC, post AFC and Subprime Mortgage Crisis. One important portfolio implication from this study is that the market players are able to plan ahead in their investment and portfolio diversification especially during economic downturns.

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Item Type: Article
Creators:
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Abu Bakar, Mohd Allif Anwar
UNSPECIFIED
Ali, Norli
UNSPECIFIED
Subjects: B Philosophy. Psychology. Religion > BP Islam. Bahaism. Theosophy, etc > Islam
H Social Sciences > HF Commerce > Personnel management. Employment management > Performance standards
H Social Sciences > HG Finance > Investment, capital formation, speculation > Investment companies. Investment trusts. Mutual funds
H Social Sciences > HG Finance > Investment, capital formation, speculation > Government securities. Industrial securities. Venture capital
Divisions: Universiti Teknologi MARA, Shah Alam > Accounting Research Institute (ARI)
Journal or Publication Title: Malaysian Accounting Review
UiTM Journal Collections: UiTM Journal > Management & Accounting Review (MAR)
ISSN: 1675-4077
Volume: 13
Number: 1
Page Range: pp. 75-108
Official URL: https://mar.uitm.edu.my/
Item ID: 13678
Uncontrolled Keywords: Syariah-compliant, non shariah-compliant, performance measurement
URI: https://ir.uitm.edu.my/id/eprint/13678

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13678

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