Abstract
Purpose – The purpose of this paper is to study whether Islamic investors lose portfolio efficiency due to a limited asset universe.Design/methodology/approach – The paper contributes to prior literature by using non‐parametrical measurements of efficiency instead of regular (parametrical) methods. Data envelopment analysis (DEA) was used in order to better characterize the risk and return relationship, as well as estimating a single performance index to rank different funds and compare them to one another.Findings – Overall, the results are congruent with prior findings. That is, there is strong evidence suggesting that Islamic funds are highly efficient and that they outperform their international counterparts. Also, results are robust to different estimation of DEA, the specification of the asset universe, and the inclusion of financial crisis period in analysis.Research limitations/implications – Though the paper's findings are robust to different specifications of the DEA model and time periods, the ...
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