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Éthique et performance : le cas des indices boursiers et des fonds d'investissement en finance islamique

Abstract : Since the mid-nineties, Islamic mutual funds and indices have received a significant level of academic scrutiny. However, the debate over their under-performance or over-performance is not over yet. The prime objective of our study is to explore the stakes, the performance and the persistence in performance of this category of indices and funds. As for indices, the study used a sample of 57 Islamic indices and their conventional benchmarks. It is carried out through a) studying the similarities and differences between Islamic and conventional indices; b) surveying the current literature by performing both narrative and meta-analytical review of the literature, c) studying the efficiency and their potential for diversification; d) comparing the return, the risk and the performance of Islamic indices with their conventional counterparts, e) ranking Islamic indices using various performance measures; and f) studying the persistence using the four-factor pricing model. Despite their lack of diversification, the study finds that Islamic indices have, in average, the same level of inefficiency and performance as their conventional counterparts. As for funds, the study used a sample of 111 Islamic equity funds over the period April 2005 to March 2011 and carried out through applying different performance measures and non-parametric tests of performance persistence over three equal sub-periods. The study finds much heterogeneity in Islamic funds' performance and a little evidence that supports non-persistence in performance of Islamic mutual funds during and after the last financial crisis.
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Contributor : Abdelbari El Khamlichi Connect in order to contact the contributor
Submitted on : Friday, January 11, 2013 - 5:49:44 PM
Last modification on : Tuesday, November 29, 2022 - 2:18:07 PM
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  • HAL Id : tel-00773171, version 1


Abdelbari El Khamlichi. Éthique et performance : le cas des indices boursiers et des fonds d'investissement en finance islamique. Finance [q-fin.GN]. Université d'Auvergne - Clermont-Ferrand I, 2012. Français. ⟨NNT : ⟩. ⟨tel-00773171⟩



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