The Capital Asset Pricing Model (CAPM) has been examined extensively for common stock return and index return. However, the examination with Islamic stocks is limited. This paper investigates the relationship between return and market risk for the Islamic stocks in Malaysia Financial Times Stock Exchange (FTSE) market. FTSE Bursa Malaysia EMAS Shariah Index (FBMSHA) and FTSE Bursa Malaysia Hijrah Shariah Index (FBMHS) are proxy for the Islamic portfolio. The finding provides some new insights on the performance of Islamic stocks in Malaysia FTSE market through stating the hypothesis that the risk of the Islamic indices is high in a downturn economic status in comparison with a normal period.