COMPARATIVE ANALYSIS OF KEY PERFORMANCE INDICATORS OF ISLAMIC INDEX

Islamic index in general is the stock exchange index that includes stocks traded in the national andinternational market, the companies operating in accordance with Islamic law. First in 1990, it wasintroduced in the US Wall Street Stock Exchange. Islamic indices have a great importance to be able tomeasure the stock performance of companies operating in accordance with Islamic principles. In thisstudy Standard and Poor’s, Dow Jones, Morgan Stanley, and the Financial Times Stock Exchange IslamicIndices have been included in the study on a monthly frequency and to compare the performance betavalues are estimated by creating the index single index model. In the study using the Capital AssetPricing Models (CAPM), expected return for indices were estimated. In addition, to compare portfolioperformance Sharpe Ratio, Treynor Ratio, Jensen Performance Ratio is calculated.

Anahtar Kelimeler:

Islamic indices, CAPM, Sharpe, Treynor, Jensen

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