The performance of Islamic vs. conventional equity indices: Sectoral evidence

Do Islamic equity indices have the same performance as their Conventional (mainstream) counterparts? In order to answer this question, this study attempts to investigate the issue of the performance of these indices using various measures. Unlike the previous works which focused on global indices, the added value of this study is to provide evidence from sector indices belonging to Dow Jones family. We use daily data on 10 Islamic and 10 conventional indices from Dow Jones family over a period of 10 years. Indices from our sample are sorted by their activity sectors according to ICB classification. Using various performance measures, the study finds that global DJ Islamic index outperforms the conventional one. While at the sector level, only three Islamic indices outperform their conventional counterparts, namely those of Consumer Services, Financial and Telecommunication sectors. Findings of the study do have strong policy implications for investors and portfolio managers.