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Risk-Reward Trade-Off and Volatility Performance of Islamic Versus Conventional Stock Indices: Global Evidence
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Risk-Reward Trade-Off and Volatility Performance of Islamic Versus Conventional Stock Indices: Global Evidence (2020)Risk-Reward Trade-Off and Volatility Perf…Journal of King Abdulaziz University-Islamic Economics (2025)Journal of King Abdulaziz Uni…Islamic Economic Studies (2023)Islamic Economic StudiesThe diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors (2014)The diversification benefits …Performance of global Islamic versus conventional share indices: International evidence (2013)Performance of global Islamic…Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach (2013)Do Islamic stock indexes outp…Is There a Cost to Faith-Based Investing: Evidence from FTSE Islamic Indices (2008)Is There a Cost to Faith-Base…A Critical Review of Sustainable Business Indices and their Impact (2007)A Critical Review of Sustaina…Ethical Investment Revisited (2005)Ethical Investment RevisitedMeasuring the performance of ethical mutual funds: a DEA approach (2003)Measuring the performance of …Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model (2001)Empirical Analysis of Stock R…A Comparative Literature Survey of Islamic Finance and Banking (2001)A Comparative Literature Surv…Performance Measurement in a Downside Risk Framework (1994)Performance Measurement in a …Modelling the persistence of conditional variances (1986)Modelling the persistence of …Mutual Fund Performance (1966)Mutual Fund PerformanceThe Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Stakeholder Theory of the Corporation: Concepts, Evidence, and Implications (1995)61. Capitalism and Freedom (2002)The Social Responsibility of Business Is to Increase Its Profits (2007)Corporate social responsibility and shareholder's value (2011)Signaling Sustainability Leadership: Empirical Evidence of the Value of DJSI Membership (2011)Who Needs CSR? The Impact of Corporate Social Responsibility on National Competitiveness (2013)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors (2014)Islamic financial markets and global crises: Contagion or decoupling? (2016)Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis (2017)PORTFOLIO SELECTION* (1952)Rules for Ordering Uncertain Prospects (1969)Emerging new themes in environmental, social and governance investing: a systematic literature review (2019)Sustainable finance and investment: Review and research agenda (2021)Default and Renegotiation: A Dynamic Model of Debt (1998)Determinants of corporate social responsibility disclosure: the case of Islamic banks (2011)Islamic and conventional banks' soundness during the 2007–2008 financial crisis (2013)The governance, risk-taking, and performance of Islamic banks (2016)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)A Brief History of Downside Risk Measures (1999)Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Portfolio selection with higher moments (2010)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Home-region orientation in international expansion strategies (2013)Ethical Reporting in Islami Bank Bangladesh Limited (1983–2010) (2014)Higher Ethical Objective (Maqasid al-Shari’ah) Augmented Framework for Islamic Banks: Assessing Ethical Performance and Exploring Its Determinants (2019)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1994Performance Measurement in a Downside Risk Framework899 cited
  • 2001A Comparative Literature Survey of Islamic Finance and Banking482 cited
  • 2013Performance of global Islamic versus conventional share indices: International evidence305 cited
  • 2007A Critical Review of Sustainable Business Indices and their Impact303 cited
  • 2013Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach295 cited
  • 2023Islamic Economic Studies264 cited
  • 2005Ethical Investment Revisited235 cited
  • 2014The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors183 cited
  • 2008Is There a Cost to Faith-Based Investing: Evidence from FTSE Islamic Indices173 cited
  • 2003Measuring the performance of ethical mutual funds: a DEA approach145 cited
  • 2025Journal of King Abdulaziz University-Islamic Economics

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137 cited
  • 2001Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model127 cited
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