KUALA LUMPUR, Malaysia -- The Philippines Stock Exchange (PSE) said Tuesday it is considering setting up an index of sharia compliant stocks to compete with the likes of Malaysia in capturing a slice of the Islamic investment market.

"We plan to look into it ... to see whether there is potential. Other exchanges in the Asian region are doing it so we might be left behind. We have to study it carefully," PSE president Francisco Lim told Reuters.

The stock exchanges of Malaysia, Indonesia and Singapore have established Islamic equity indexes while Thailand expects to launch its first such index next month.

About 30 companies on the Philippines stock exchange are sharia compliant, Lim said on the sidelines of an Islamic finance forum in the capital here.

He also said a suggestion to establish an Islamic index for the Southeast Asian region was made at a regional meeting of exchange chiefs but there had been little development since.

However, plans to set up electronic links and create an ASEAN (Association of Southeast Asian Nations) trading board had progressed to the signing of memorandum of agreements last week between the bourses of the Philippines, Singapore, Malaysia, Indonesia and Thailand.

They are currently working on cost assessments for the infrastructure that will see the five exchanges each nominate 30 companies to be traded on a single linkage, Lim said.

"I think cost is a big issue," he said, adding that there was no target date to launch the mechanism.