Understanding time-varying systematic risks in Islamic and conventional sectoral indices

Rizvi, Syed Aun R. and Arshad, Shaista,(2018), Understanding time-varying systematic risks in Islamic and conventional sectoral indices. , Economic Modelling, UNSPECIFIED

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Abstract

This paper examines the nature of time-varying systematic risk for both Islamic and non-Islamic sectoral indices. The novelty lies in the analysis of behavioural changes in beta according to the global economic state. Using daily stock market return data on 10 global sectors, we show that both Islamic and conventional indices follow a similar cyclical pattern over time. The sectoral beta turns out to be smaller for the Islamic market compared to the conventional market. These results remain robust to multiple additional tests. On this basis, we argue that a lower systematic risk of Islamic equities can offer portfolio diversification opportunities
Keywords : Beta Systematic risk Equity indices Islamic finance, UNSPECIFIED
Journal or Publication Title: Economic Modelling
Volume: 70
Number: UNSPECIFIED
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Nila Nurjanah
Date Deposited: 17 Dec 2019 03:55
Last Modified: 17 Dec 2019 03:55
URI: https://repofeb.undip.ac.id/id/eprint/301

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