Ethical Investment Revisited

The first Dow Jones Islamic market index (DJIMI) was launched in February 1999. A comprehensive study of the performance of each Islamic index that accounts for the effects of industry, size, and economic conditions reveals that Islamic indexes provided investors with positive abnormal returns over 1996-2003, but underperformed over the bear market “subperiod.” Equally important, the empirical findings of this article, in contrast to the common belief that technology sector firms are behind the Islamic indexes9 positive abnormal returns, provide evidence that smallness and basic materials, consumer cyclicals, and industrial and telecommunication industries are the dominant driving factors in Islamic index positive abnormal returns