A COMPARATIVE ANALYSIS OF RETURNS AND RISK CHARACTERISTICS OF SHARIA-COMPLIANT TRADITIONAL AND DIGITAL ASSETS: EVIDENCE FROM THE BAHRAIN ISLAMIC INDEX (BIX) AND ISLAMIC COIN

Abstract

This study provides a comparative analysis of the return and risk characteristics of Sharia-compliant traditional and digital assets, focusing on the Bahrain Islamic Index (BIX) and Islamic Coin over the period from November 3, 2023 to July 27, 2025. Weekly data are employed to ensure consistency across assets. Given the non-normal distribution of returns, the study adopts a non-parametric framework, including the Jarque–Bera and Kolmogorov–Smirnov tests for normality, the Mann–Whitney U test for return comparison, and the Brown–Forsythe test for variance analysis.

The empirical results indicate that Islamic Coin achieves a positive average return, while the BIX index exhibits negative average performance over the sample period. Furthermore, Islamic Coin demonstrates lower return variability compared to BIX. The Mann–Whitney U test confirms a statistically significant difference in return distributions, with Islamic Coin showing higher distributional ranks. In addition, the Brown–Forsythe test reveals significant differences in risk, indicating that BIX is characterized by greater return dispersion.

These findings suggest that Islamic Coin exhibits distinct return and risk dynamics compared to traditional Islamic equity indices, supporting its classification as an emerging asset class within Islamic finance. The study contributes to the growing literature on Islamic digital finance by providing empirical evidence on the comparative performance of Sharia-compliant assets.