Examining the performance of Shari’ah-compliant versus conventional stock indexes: A comparative analysis pre‑, during, and post-COVID-19

Abstract

This study aims to conduct an empirical comparative analysis of the performance of Shari’ah and conventional stock indexes during the period 2017–2023, which includes the COVID-19 pandemic. Additionally, it aims to investigate investors’ preferences and analyse the long-term relationship of these indexes, as well as exploring the potential diversification benefits. The research methodology incorporates stochastic dominance analysis, the VARMAX procedure, and Johansen’s co-integration approach. The data utilized consists of 31 conventional and 31 Islamic stock indexes, specifically from the FTSE, DJ, MSCI, and S&P series.

Keywords

• islamic finance
• indexes
• stochastic dominance
• covid-19
• c14
• z120
• g17