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Risk-return characteristics of Islamic equity indices: Multi-timescales analysis

Ginanjar Dewandaru, Obiyathulla Bacha, A. Mansur M. Masih and Rumi Masih
Authors registered in the RePEc Author Service: Abul Mansur Mohammed Masih

Journal of Multinational Financial Management, 2015, vol. 29, issue C, 115-138

Abstract: This paper is motivated by the heightened interest in investing in Islamic equities. The paper is the first attempt at analysing the risk-return characteristics of Islamic indices at different timescales by applying a relatively new approach in finance known as wavelet analysis. We analyze the Dow Jones indices of 11 countries, mostly emerging markets, and 10 global sectors between 2008 and 2012. We focus on exploring the multi-horizon nature of systemic risk (market beta), average return, volatility, and correlation.

Keywords: Shariah-compliant stocks; Risk-return profile; Systemic risk; Wavelet analysis; Islamic finance (search for similar items in EconPapers)
JEL-codes: C1 C4 G1 G2 G3 P5 (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:eee:mulfin:v:29:y:2015:i:c:p:115-138