A Comparative Study between Islamic and Conventional Exchange-Traded Funds: Evidence from Global Market Indices

• 발행기관: 한국유통과학회
• 저자명: Kok-Leong YAP Wee-Yeap LAU Izlin ISMAIL
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.2, 725~735쪽, 전체 11쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.02.28

영문 초록

This study investigates whether the Islamic Exchange-Traded Funds (ETFs) provide significant benefit to investors relative to conventional ETFs. Six pairs of Islamic and conventional ETFs with 10-year daily price data from 2010 to 2019 have been selected from major market indices like MSCI World Index, MSCI Emerging Markets, MyETF Dow Jones Islamic Market Malaysia, MSCI South East Asia and Wahed FTSE Shariah USA Index for this study. For ETFs that are launched after 2010, the price data from launch date to 2019 are used. Our results show: First, Islamic ETFs are more likely to trade at a premium rather than at a discount, implying the investors are willing to pay a premium. Second, it is also found that Islamic ETFs have a relatively shorter period of price deviation from the benchmark, implying more price stability. Third, conventional ETFs have higher return and lower tracking errors relative to Islamic ETFs. These new findings add to the stylized facts of Islamic ETFs in the extant literature for investors, plan sponsors and regulators as to the differences between the ETFs. As policy suggestion, asset management companies can design new investment products to bridge the gap between conventional and Islamic finance.

목차

1. Introduction

2. Methodology

3. Empirical Results and Discussion

4. Conclusion

키워드

Islamic Finance Exchange-Traded Fund Performance Evaluation Market Indices