Performance Measurement Analysis: Shariah-compliant vs. Non Shariah-compliant Securities

  • Mohd Allif Anwar Abu Bakar School of Business and Economics, Universiti Malaysia Sabah (UMS), Malaysia
  • Norli Ali Accounting Research Institute & Faculty of Accountancy Universiti Teknologi Mara (UiTM), Malaysia

Abstract

Using the sample of 107 shariah-compliant and non shariah-compliantsecurities in Malaysia from January 1990 to December 2011, we examinetheir performances by applying the performance measure of Jensen AlphaIndex and Treynor Index. The sample period is divided into four segmentsof pre AFC (Asian Financial Crisis), during AFC, post AFC and SubprimeMortgage Crisis. Our results showed that the performance of shariahcompliantsecurities tend to be indifferent with non shariah-compliantsecurities. However, the performance of both portfolios is significantlydifferent between the four segments of pre AFC, during AFC, post AFC andSubprime Mortgage Crisis. One important portfolio implication from thisstudy is that the market players are able to plan ahead in their investmentand portfolio diversification especially during economic downturns
Published
Jun 30, 2014
How to Cite
ABU BAKAR, Mohd Allif Anwar; ALI, Norli. Performance Measurement Analysis: Shariah-compliant vs. Non Shariah-compliant Securities. Management & Accounting Review (MAR), [S.l.], v. 13, n. 1, p. 75-108, june 2014. ISSN 2550-1895. Available at: <http://arionline.uitm.edu.my/ojs/index.php/MAR/article/view/20>. Date accessed: 30 nov. 2022. doi: http://dx.doi.org/10.24191/mar.v13i1.20.