Browsing by Author "El Khamlichi A."

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    The performance ranking of Emerging Markets Islamic indices using risk adjusted performance measures
    (Economics Bulletin, 2017) Yildiz S.B.; El Khamlichi A.
    This paper evaluates the performance of Emerging Market (EM) Morgan Stanley Capital International (MSCI) Islamic indices of 20 countries located in 3 different regions; using 16 different risk adjusted performance measures (RAPMs). The conducted tests show that only Sharpe and M2 Ratios give the identical rankings, Pearson Linear Correlation Coefficient analysis was also performed to measure the correlation between the rankings of 16 RAPMs. The final rankings of the indices are obtained using the Borda count method. Our results suggest that, on a regional basis, the performances of Asian countries are found to be better than both Latin American and EMEA (Europe, Middle East and Africa) region countries. When the countries are examined individually, EM Colombia Islamic index comes first in the assessment; EM United Arab Emirates Islamic index comes at the last position.
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    Do Islamic stock indices perform better than their conventional counterparts?
    (Inderscience Publishers, 2021) El Khamlichi A.; Yildiz S.B.; Sarkar K.; Hoque H.
    Applying the preference ranking organisation method for enrichment of evaluations (PROMETHEE II), this study attempts to rank Islamic and conventional indices from 20 developed and 18 emerging markets based on the performance of their MSCI conventional and Islamic country indices between 2002 and 2016. The study finds that the Danish Islamic Index at the top of the ranking and the Hungarian Islamic Index at the bottom. Moreover, conventional indices predominantly perform better than their Islamic counterparts in emerging markets and vice versa in developed markets. © 2021 Inderscience Enterprises Ltd.