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Dynamic inflation hedging performance and downside risk: A comparison between Islamic and conventional stock indices
16 references·2 citing·47 second hop
Dynamic inflation hedging performance and downside risk: A comparison between Islamic and conventional stock indices (2023)Dynamic inflation hedging performance and…Did Congress trade ahead? Considering the reaction of US industries to COVID-19 (2020)Did Congress trade ahead? Con…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…Inflation Risk and the Inflation Risk Premium (2010)Inflation Risk and the Inflat…Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Strategic asset allocation wi…New Evidence of Asymmetric Dependence Structures in International Equity Markets (2008)New Evidence of Asymmetric De…Islamic Banks and Financial Stability (2008)Islamic Banks and Financial S…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Ethical Investment Revisited (2005)Ethical Investment RevisitedSystemic Risk and International Portfolio Choice (2004)Systemic Risk and Internation…A test for independence based on the correlation dimension (1996)A test for independence based…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Stock Market Returns and Inflation: Evidence from Other Countries (1983)Stock Market Returns and Infl…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationMean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Optimizing global risk-conscious portfolios: the strategic role of Sharia-compliant and ESG investments (2025)Optimizing global risk-consci…Factors influencing SME project returns on Islamic Fintech lending platform (2024)Factors influencing SME proje…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Stock prices, asset portfolios and macroeconomic variables in ten European countries (1989)Selecting macroeconomic variables as explanatory factors of emerging stock market returns (2001)Money Illusion and Housing Frenzies (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is there a diversification discount in financial conglomerates? (2006)Benchmarking Financial Systems around the World (2012)Bank competition and financial stability in Asia Pacific (2013)Risk in Islamic Banking (2013)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Asset Prices in an Exchange Economy (1978)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Time-inconsistent Preferences and Consumer Self-Control (1991)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Theory of games and economic behavior (2019)Optimum consumption and portfolio rules in a continuous-time model (1971)Option pricing when underlying stock returns are discontinuous (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2004)International asset allocation under regime switching, skew, and kurtosis preferences (2008)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)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)
this work references cited by second hop

References

  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2008Islamic Banks and Financial Stability1,150 cited
  • 2004Systemic Risk and International Portfolio Choice405 cited
  • 1983Stock Market Returns and Inflation: Evidence from Other Countries404 cited
  • 2013Performance of global Islamic versus conventional share indices: International evidence305 cited
  • 2013Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach295 cited
  • 2008New Evidence of Asymmetric Dependence Structures in International Equity Markets251 cited
  • 2008Strategic asset allocation with liabilities: Beyond stocks and bonds244 cited
  • 2010Inflation Risk and the Inflation Risk Premium243 cited
  • 2005Ethical Investment Revisited235 cited

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2020
Did Congress trade ahead? Considering the reaction of US industries to COVID-19
235 cited

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  • 2024Factors influencing SME project returns on Islamic Fintech lending platform12 cited
  • 2025Optimizing global risk-conscious portfolios: the strategic role of Sharia-compliant and ESG investments12 cited