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

Amelie Charles, Olivier Darné and Adrian Pop
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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

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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
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