Risk-return characteristics of Islamic equity indices: Multi-timescales analysis
A. Mansur M. Masih and
Authors registered in the RePEc Author Service: Abul Mansur Mohammed Masih
Journal of Multinational Financial Management, 2015, vol. 29, issue C, 115-138
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:29:y:2015:i:c:p:115-138
Access Statistics for this article
Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth
More articles in Journal of Multinational Financial Management from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().