Volume 13 No. 1, June 2014
ARTICLE INFO
Article History:
Received: 03 September 2013
Accepted: 22 March 2014
Published: 30 June 2014
MANAGEMENT AND ACCOUNTING REVIEW, VOLUME 13 NO. 1, JUNE 2014
PERFORMANCE MEASUREMENT ANALYSIS: SHARIAH-COMPLIANT VS. NON SHARIAH-COMPLIANT SECURITIES
Mohd Allif Anwar Abu Bakar
School of Business and Economics,
Universiti Malaysia Sabah (UMS), Malaysia
School of Business and Economics,
Universiti Malaysia Sabah (UMS), Malaysia
Norli Ali
Accounting Research Institute & Faculty of Accountancy
Universiti Teknologi Mara (UiTM), Malaysia
ABSTRACT
Using the sample of 107 shariah-compliant and non shariah-compliant securities in Malaysia from January 1990 to December 2011, we examine their performances by applying the performance measure of Jensen Alpha Index and Treynor Index. The sample period is divided into four segments of pre AFC (Asian Financial Crisis), during AFC, post AFC and Subprime Mortgage Crisis. Our results showed that the performance of shariahcompliant securities tend to be indifferent with non shariah-compliant securities. However, the performance of both portfolios is significantly different between the four segments of pre AFC, during AFC, post AFC and Subprime Mortgage Crisis. One important portfolio implication from this study is that the market players are able to plan ahead in their investment and portfolio diversification especially during economic downturns.
Keywords: Syariah-compliant, non shariah-compliant, performance measurement
Keywords: Syariah-compliant, non shariah-compliant, performance measurement