Analysing The Performance of Malaysian Islamic and Conventional Stock Portfolios

Authors

  • Sharmeen Rakhi School of Business and Governance Murdoch University Perth, Western Australia Australia.
  • Ariful Hoque School of Business and Governance Murdoch University Perth, Western Australia Australia.
  • Kamrul Hassan School of Business and Governance Murdoch University Perth, Western Australia Australia.

Keywords:

Portfolio Return, Portfolio Risk, Risk-Sharing, Risk-diversification

Abstract

This paper examines the performance of Islamic stock portfolio (ISP) and conventional stock portfolio (CSP) in the Malaysian stock market. The well-accepted four performance measures Jensen’s Alpha, Beta, Sharpe ratio and Treynor ratio are employed to evaluate the performance of ISP and CSP. First the ISP and CSP are constructed within-the-sector for the consumer product, industrial product, plantation, properties and trading service sectors from January 2010 to December 2017. For the same period, the ISP and CSP are also developed across-the-sectors by selecting one top stock from each sector. The minimum three out of four performance measures indicate that the ISP outperforms CSP within-the-sector for all sectors except plantation. However, the ISP and CSP perform equally across-the-sectors. It can be concluded that the ISP is superior to CSP in terms of risk-return trade-off in most of the cases within-the-sector. This finding implies that risk-sharing strategy of the ISP is better than risk-diversification strategy of the CSP for higher portfolio return.

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Published

2020-08-18

How to Cite

Rakhi, S. ., Hoque, A. ., & Hassan, K. . (2020). Analysing The Performance of Malaysian Islamic and Conventional Stock Portfolios. International Journal of Islamic Economics and Finance Research, 1(2), 19-30. Retrieved from https://ijiefer.kuis.edu.my/ircief/article/view/29