The Performance Of Islamic And Conventional Stock Markets : Evidence From Bursa Malaysia

This study provides new evidence on the risk and return performance of Malaysia Dow Jones Islamic Index (DJIM) and FSTE Bursa Malaysia Kuala Lumpur Composite Index (KLCI) stock markets from January 2000 to October 2011. The four measurement techniques of risk adjusted performance are used such as the Sharpe ratio, Treynor ratio, Adjusted Jensen's Alpa Index Performance (AJAI), and modified Sharpe Ratio. The daily data were divided into four periods such as pre-subprime financial crisis, during the subprime financial crisis, post subprime financial crisis and full sample period. This study shows that the DJIM produced more return compared to KLCI in all sample periods. Besides, this study also found out that there is significant short-run bidirectional causality between DJIM and KLCI and they possess a unique long run relationship particularly during the post crisis period. The findings of this study can provide useful implications for investors and policy makers in Malaysia