The Performance of Syariah and Composite Indices: Evidence from Kuala Lumpur Stock Market
25 Pages Posted: 23 Aug 2007
Date Written: 2006
Abstract
The paper investigates the performance of Kuala Lumpur Syariah index against its counterpart index, namely the Composite index. Performance measures such as Sharpe ratio, Treynor index, Beta, and Jensen alpha are used as well as Time series techniques such as unit root, cointegration, and VECM and Granger causality to investigate the long and short run relationship. Using daily data, the results suggest that there is no statistical difference in mean return between both indices. In addition, KLCI is found to have higher returns and risk than KLSI. In term of cointegration and causality, it is concluded that both indices are integrated of order one and cointegrated. Moreover, there is bidirectional causality between them.
Keywords: Islamic, Syariah, KLSI
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