Systematic Risk in Conventional and Islamic Equity Markets

被引:32
|
作者
Sensoy, Ahmet [1 ]
机构
[1] Borsa Istanbul, Res Business Dev, Resitpasa Mah,Tuncay Artun cad, TR-34467 Istanbul, Turkey
基金
欧盟地平线“2020”;
关键词
COMMON-STOCK; INDEXES; LEVERAGE;
D O I
10.1111/irfi.12077
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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.
引用
收藏
页码:457 / 466
页数:10
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