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- W2972683028 abstract "Abstract This paper compares the performance of Islamic, conventional, and mixed (Islamic-conventional) optimal international portfolios from the viewpoint of an American investor across tranquil and crisis regimes. The dataset consists of closing prices on MSCI Islamic stock indices and their conventional counterparts in the US and 15 emerging markets in three regions (Latin America, Europe, and Asia) over the period from June 2002 to February 2017. The methodology is based on the Markov regime-switching model and the Ledoit and Wolf (2008) Sharpe ratios difference test. Generally, the results show a difference in performance between conventional, Islamic, and mixed portfolios but it is not statistically significant. Hence, investors will not be worse off by choosing Islamic indices rather than conventional ones." @default.
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- W2972683028 date "2020-03-01" @default.
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- W2972683028 title "Performance analysis of Islamic and conventional portfolios: The emerging markets case" @default.
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- W2972683028 doi "https://doi.org/10.1016/j.bir.2019.09.002" @default.
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