EconPapers    
Economics at your fingertips  
 

Differentiation of Market Risk Characteristics among Sharia Compliant and Conventional Equities listed on the Pakistani Capital Market - KSE 100 Index over a selective time period

Syed Hussain

2013 Papers from Job Market Papers

Abstract: This technical paper highlights the substantive and notable Market Risk difference among Islamic and Conventional Securities with respect to their Actual Price Volatility Risk Characteristics in context of Listed Pakistani Capital Markets. The data analyzes market risk of each listed security based on price series of the last five years drawn from the KSE 100 Index. We have used KMI 30 Index within KSE 100 Index to separate Islamic Stocks from their conventional counterparts. The study has applied two different market risk measurement methods of VaR - Value at Risk calculation such as Historical Simulation and VCV â Variance Covariance. In this paper three different confidence intervals are applied distinctly but simultaneously to both methods of VaR Calculation and groups of stocks ie (Islamic/Sharia Compliant and Conventional Equities). At the end, Percentiles are used to classify VaR measurements belonging to each group of stock. The Null Hypothesis is tested using a difference between means of two populationsâ z test statistic model at given 5% level of significance. The intention of writing this paper was to technically âfill the literature gapâ which exists within the purview of literature review covering both areas in Risk Finance and Islamic Finance.

JEL-codes: G1 (search for similar items in EconPapers)
Date: 2013-12-02
New Economics Papers: this item is included in nep-rmg and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://ideas.repec.org/jmp/2013/phu395.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:jmp:jm2013:phu395

Access Statistics for this paper

More papers in 2013 Papers from Job Market Papers
Bibliographic data for series maintained by RePEc Team ().

 
Page updated 2023-10-29
Handle: RePEc:jmp:jm2013:phu395