The volatility of Islamic and conventional stock prices : is there a difference?

Author

Bin Qaddur, Ashwaq

Source

Revue Algérien de Développement Économique

Issue

Vol. 7, Issue 2 (31 Dec. 2020), pp.369-382, 14 p.

Publisher

Kasdi Merbah University of Ouargla Faculty of economic and commercial sciences and management in coordination laboratory of the rehabilitation and development requirements of the developing economies under the global economic openness

Publication Date

2020-12-31

Country of Publication

Algeria

No. of Pages

14

Main Subjects

Economy and Commerce
Financial and Accounting Sciences
Islamic Economics and Finance

Topics

Abstract EN

This study examines the characteristics of the volatility of the Islamic index versus the conventional index of the financial market.

Daily data for the Dow Jones Islamic Index (DJIM) and the conventional DJ index (DJI) were used from January 2014 to December 2018.

The results of the t-test to verify the difference between the average return between both indicators showed that there is no significant difference in the average between the Islamic and conventional index.

The results of the EGARCH model estimate showed that there was no leverage risk in both indicators.

The risk-adjusted performance of the Islamic index versus its conventional index using the Sharp Variations and CAPM pricing model, showed that there was no difference between performance between the two indices in the rate of return risk.

Muslim investors can therefore pursue negative equity investments in line with their religious beliefs without sacrificing financial performance.

American Psychological Association (APA)

Bin Qaddur, Ashwaq. 2020. The volatility of Islamic and conventional stock prices : is there a difference?. Revue Algérien de Développement Économique،Vol. 7, no. 2, pp.369-382.
https://search.emarefa.net/detail/BIM-1007701

Modern Language Association (MLA)

Bin Qaddur, Ashwaq. The volatility of Islamic and conventional stock prices : is there a difference?. Revue Algérien de Développement Économique Vol. 7, no. 2 (2020), pp.369-382.
https://search.emarefa.net/detail/BIM-1007701

American Medical Association (AMA)

Bin Qaddur, Ashwaq. The volatility of Islamic and conventional stock prices : is there a difference?. Revue Algérien de Développement Économique. 2020. Vol. 7, no. 2, pp.369-382.
https://search.emarefa.net/detail/BIM-1007701

Data Type

Journal Articles

Language

English

Notes

Includes appendices : p. 377-381

Record ID

BIM-1007701