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L'analyse de la performance des indices islamiques

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Bouacida, Merwan ULiège
Promotor(s) : Boussaid, Nabila ULiège
Date of defense : 5-Sep-2018/11-Sep-2018 • Permalink : http://hdl.handle.net/2268.2/5756
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Title : L'analyse de la performance des indices islamiques
Author : Bouacida, Merwan ULiège
Date of defense  : 5-Sep-2018/11-Sep-2018
Advisor(s) : Boussaid, Nabila ULiège
Committee's member(s) : Muller, Aline ULiège
Bazgour, Tarik ULiège
Language : French
Number of pages : 120
Keywords : [fr] Index performance, Islamic finance, Islamic indexes, Risk-adjusted performance
Discipline(s) : Business & economic sciences > Finance
Target public : Student
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[fr] This report presents an analysis of the risk-adjusted performance of Islamic and conventional stock indexes. This paper begins with an introduction on Islamic finance and Islamic stock indexes and with a description of empirical works dealing with the same subject.
In order to examine whether the Islamic indexes outperform the conventional indexes, diverse statistical tools has been used such as the total annualized return, the standard deviation, Skewness and Kurtosis coefficient or the paired sample t-test. Measures of measurements such as the Treynor ratio, the Sharpe ratio, the Jensen’s alpha and the Information ration were applied.
Analyses were realized on eight pairs of indexes from S&P Dow Jones and on seven pairs of indexes from MSCI. Returns are daily for S&P Dow Jones and monthly for MSCI. The 4 studied periods are the global period, the pre-crisis period, the period of the global financial crisis and the post-crisis period. The 1 year US Treasury bill rate is used as risk free rate. Benchmarks for S&P Dow Jones indexes and MSCI indexes are respectively the S&P Global BMI and the MSCI World.
Findings reveal that S&P Dow Jones Islamic indexes outperform and are less risky than conventional indexes. However, for the MSCI indexes the results are mitigated. Indeed, conventional and Islamic indexes cannot be decided for the global period and the pre-crisis period. Moreover, Islamic indexes have better risk-adjusted returns during the crisis while for the post-crisis period it is the conventional indexes which have better risk-adjusted returns.


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  • Bouacida, Merwan ULiège Université de Liège > Master sc. gest., à fin.

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