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Do Islamic indices provide diversification to bitcoin? : a time-varying copulas and value at risk application

Ur Rehman, Mobeen; Asghar, Nadia; Kang, Sang Hoon - In: Pacific-Basin finance journal 61 (2020), pp. 1-26

Persistent link: https://www.econbiz.de/10012494418

Drawdown risk in mutual funds performance

Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106

To many people, the terror of falling share prices is often significant, often more so than the pleasure of gains. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have several tools to measure downside volatility,...

Persistent link: https://www.econbiz.de/10009746020

Diversification benefits in energy, metal and agricultural commodities for Islamic investors : evidence from multivariate GARCH approach

Buerhan Saiti; Dahiru, Abdulnasir; Yumusak, Ibrahim Guran - In: Quantitative finance and economics 2 (2018) 3, pp. 733-756

Persistent link: https://www.econbiz.de/10012156848

Quantile-based spillover connectedness among stochastic volatilities of ESG equities, Islamic and conventional stocks with implications for portfolio management

Asl, Mahdi Ghaemi; Khalfaoui, Rabeh; Tavakkoli, Hamid Reza - 2024

Persistent link: https://www.econbiz.de/10015394633

Islamic and conventional equity index co-movement and volatility transmission : evidence from Pakistan

Jebran, Khalil; Chen, Shihua; Tauni, Muhammad Zubair - In: Future Business Journal 3 (2017) 2, pp. 98-106

This study investigates the Islamic and conventional Index integration over the period 3rd September, 2008 to 30th September, 2015. This study uses Johansen and Juselius cointegration method for exploring the long run association. The short run association is explored using VECM model. The...

Persistent link: https://www.econbiz.de/10011862069

Are Islamic stock indexes exposed to systemic risk? : multivariate GARCH estimation of CoVaR

Trabelsi, Nader; Naifar, Nader - In: Research in international business and finance 42 (2017), pp. 727-744

Persistent link: https://www.econbiz.de/10011750545

Impact of ethical screening on risk and returns : the case of constructed Moroccan Islamic stock indices

Bousalam, Issam; Hamzaoui, Moustapha - In: Journal of financial regulation and compliance : an … 24 (2016) 3, pp. 268-291

Persistent link: https://www.econbiz.de/10011563858

Conventional and Islamic stock market liquidity and volatility during COVID 19

Jawadi, Fredj; Cheffou, Abdoulkarim Idi; Jawadi, Nabila; … - In: Applied economics 53 (2021) 60, pp. 6944-6963

Persistent link: https://www.econbiz.de/10012697985

Covid-19 and Islamic stock index : evidence of market behavior and volatility persistence

Saleem, Adil; Bárczi, Judit; Sági, Judit - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-22

The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market's reaction and changes in volatility before and during this pandemic. The market model of event...

Persistent link: https://www.econbiz.de/10012627110

Risk-reward trade-off and volatility performance of Islamic versus conventional stock indices : global evidence

Abu-Alkheil, Ahmad M.; Khan, Walayet A.; Parikh, Bhavik - In: Review of Pacific Basin financial markets and policies 23 (2020) 1, pp. 2050002-1-2050002-29

Persistent link: https://www.econbiz.de/10012299655