Systematic Risk in Conventional and Islamic Equity Markets

Ahmet Şensoy

47 citations0/0 files storedInternational Review of Finance

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Islamic Finance and Banking Studies Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

Abstract We aim to compare the systematic risk in conventional and Islamic equity markets by introducing two dynamic risk measures. Accordingly, the level of the systematic risk in conventional markets is slightly higher than the risk in Islamic markets for most of the time. However, this difference is significant in less than 3% of the sample period. More importantly, there is no significant difference in the levels of systematic risk during the global financial crisis of 2008, suggesting that Islamic equities are not able to provide a lower market risk compared with their conventional counterparts in financial turbulent times.

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References

2002Dynamic Conditional Correlation 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1972THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS 2013Speculators, commodities and cross-market linkages 1984The Impact of the Degrees of Operating and Financial Leverage on Systematic Risk of Common Stock 1973A MEAN‐VARIANCE SYNTHESIS OF CORPORATE FINANCIAL THEORY 2013Dynamic Conditional Correlation: On Properties and Estimation 2013Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach

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