EconPapers    
Economics at your fingertips  
 

Are Islamic Indexes more Volatile than Conventional Indexes? Evidence from Dow Jones Indexes

Amelie Charles, Olivier Darné and Adrian Pop
Additional contact information
Adrian Pop: LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes - IUML - FR 3473 Institut universitaire Mer et Littoral - UBS - Université de Bretagne Sud - UM - Le Mans Université - UA - Université d'Angers - CNRS - Centre National de la Recherche Scientifique - IFREMER - Institut Français de Recherche pour l'Exploitation de la Mer - UN - Université de Nantes - ECN - École Centrale de Nantes

Working Papers from HAL

Abstract: We examine whether global or local events are important drivers in causing major shifts and excessive volatility in Islamic indexes than in conventional indexes. We apply an iterative cumulative sum of squares (ICSS) algorithm to identify structural breaks in the volatility of several major Dow Jones Islamic and conventional indexes over the period 1996-2009. The results show that both indexes have been affected by variance changes. The null hypothesis of equality of variance between both indexes is not rejected for the majority of sub-periods defined from ICSS. When the null hypothesis is rejected, the Islamic indexes exhibit slightly highest volatilities.

Date: 2012-03-14
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00678895
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-00678895/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00678895

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2020-09-14
Handle: RePEc:hal:wpaper:hal-00678895