Did Islamic Equities Outperform Conventional Equities In the Gulf Cooperation Council (GCC) Region During and After the Global Financial Crisis?

Abstract

The study attempts to investigate whether the Islamic equitiesoutperform the conventional equities during and after the Global FinancialCrisis (GFC) in the GCC by employing some statistical techniques andRisk-adjusted Return Performance Variables. The study reveals that even thoughthe two types of equities are adversely affected by the global financialcrisis, the mean return of conventional equities is statistically significantlyhigher than that of Islamic equities during and after the crisis, but thedifferences in volatility and sensitivity between the two types of equities arenot statistically significant. When returns are adjusted for risk, the studyfurther reveals that during the financial crisis the Islamic equities performbetter than the conventional equities by minimizing losses; hence moreresilient while the conventional equities outperform the Islamic equities afterthe crisis by being more profitable and diversified.Keywords: Volatility, Sensitivity, GlobalFinancial Crisis, Risk-adjusted returns, Sharpe ratio, Treynor ratio, JensenAlpha, Information ratio, Islamic equity, conventional equity, GCC, Shari’a