This paper examines the performance of seven indexes chosen from the Dow Jones Islamic Market Index (DJIM) vis-à-vis their non-Islamic counterparts using a variety of measures such as Sharpe, Treynor, Jenson and Fama’s selectivity, net selectivity and diversification. Second, we examine the...

Although banks are central to the economic development and growth of emerging markets (Benston, 2004), most studies have not investigated the determinants of stock returns of this sector in these countries. This study, contributes to the literature in finance by investigating and identifying...

This paper identifies the risks associated with investing in the Turkish stock market. We find that Turkish firms are more volatile than firms in countries that have recently joined the EU (our control group) and that the excess volatility is significantly associated with higher financial and...

This paper develops an empirical cost of carry model with exogenously conditioned convenience yield. The approach is implemented using monthly prices of all futures contracts traded at the New York Mercantile Exchange between 1985 and 2006. Tests indicate that the model fits the data extremely...

Cet article examine la performance de sept indices choisis parmi les indices Dow Jones islamiques de marché (DJIM) en regard de celle de leurs homologues conventionnels, en utilisant d’abord une variété de mesures telles que la méthode de sélectivité de Sharpe, Treynor, Jenson et Fama,...

This paper examines the performance of seven indexes chosen from the Dow Jones Islamic Market Index (DJIM) vis-à-vis their non-Islamic counterparts using a variety of measures such as Sharpe, Treynor, Jensen and Fama’s selectivity, net selectivity and diversification. Second, we examine the...

This article investigates the risk-return relations of stocks traded in frontier markets, a class of small, illiquid, less accessible and less known emerging markets that has escaped the attention of many researchers. We examine the cross-section of risk premiums of 360 stocks traded in 19...

This paper examines the relationships between market risk premiums, time-varying variance and covariance in forty-eight emerging, and seven developed capital markets. We allow each market’s risk premium generating process to be state-dependent by accounting for negative and positive market...