Master of Science in Finance


Department of Finance


School of Business Studies (SBS)

Date of Submission

Fall 2023


Dr. Sana Tauseef,Associate Professor and Director QEC, Department of Finance


Dr. Ashraf Khan, Research Fellow in Finance, Department of Management, University of Bergamo, Italy

Submission Type

Research Project

Document Type

Restricted Access


viii, 45


The decisions investors make during times of crisis can have a lasting impact on their financial future. In this study, we employ a two-step methodological approach on funds and indexes invested globally over the period January 2014 to March 2023. In the first stage, we employ CAPM performance analysis via regression on Islamic and ESG funds. In the second stage, we use GARCH-based modeling to analyze volatility and co–movement between Islamic, ESG, and conventional indexes. We perform the analysis for normal periods as well as crisis periods including Covid–19 and the Russia-Ukraine war in both stages. The findings suggest that ESG funds outperformed Islamic funds in terms of risk-adjusted returns. Moreover, ESG funds are high-performing and low-risk investments if compared to their conventional counterparts. There is evidence of a weak correlation between Islamic and conventional indexes. The weak correlation resulted since the Islamic indexes are less exposed to certain sectors affected by war, thus providing risk reduction opportunities for investors. This paper provides performance insights into funds that can help investors diversify their portfolios across regions.

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