A comparison of the performance of the FTSE South Africa Islamic Index to the market in South Africa

Dhai, Riaz

A comparison of the performance of the FTSE South Africa Islamic Index to the market in South Africa

Master Thesis

2009

Publisher

University of Cape Town

Department

School of Management Studies

Faculty

Faculty of Commerce

Abstract

The aim of this study is to identify whether there is a difference in performance between shares meeting the Islamic investing criteria and the market in an emerging market context. The proxy for the Islamic market is the FTSE South Africa Islamic Index. The returns on this index are compared to three proxies for the market using single and multiple regression models: (1) the All Share Index on the JSE in a single factor regression (2) the Resources Index and Financial/Industrial Index in a two factor model (3) a four factor model developed by Carhart (1997) that accounts for size, growth and momentum in the market in addition to the All Share Index.

Description

Includes abstract.

Includes bibliographical references (leaves 76-79).

Keywords

Financial Management

Reference:

Collections

Masters

Full item page