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| Selim baha Yildiz and Abdelbari El khamlichi |
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| ''The Performance Ranking of Emerging Markets Islamic Indices Using Risk Adjusted Performance Measures'' |
| ( 2017, Vol. 37 No.1 ) |
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| This paper evaluates the performance of Emerging Market (EM) Morgan Stanley Capital International (MSCI) Islamic indices of 20 countries located in 3 different regions; using 16 different risk adjusted performance measures (RAPMs). The conducted tests show that only Sharpe and M2 Ratios give the identical rankings, Pearson Linear Correlation Coefficient analysis was also performed to measure the correlation between the rankings of 16 RAPMs. The final rankings of the indices are obtained using the Borda count method. Our results suggest that, on a regional basis, the performances of Asian countries are found to be better than both Latin American and EMEA (Europe, Middle East and Africa) region countries. When the countries are examined individually, EM Colombia Islamic index comes first in the assessment; EM United Arab Emirates Islamic index comes at the last position. |
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| Keywords: Emerging Markets, Islamic Indices, Performance Measures, Ranking |
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| Manuscript Received : Jun 07 2016 | | Manuscript Accepted : Jan 13 2017 |
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