PORTFOLIO VOLATILITY OF ISLAMIC AND CONVENTIONAL STOCK:THE CASE OF INDONESIA STOCK MARKET

Journal of Governance and Regulation

关键词: Islamic Stocks;    Volatility;    Risk and Return;   

DOI  :  10.22495/jgr_v2_i4_p6

学科分类：社会科学、人文和艺术（综合）

来源: Virtus Interpress

【 摘 要 】

Conventional finance suggests that the higher the risk of an investment, the higher the return it should give. Nevertheless, whether Islamic stocks that offer alternative investment in the stock market suggest different risk-return relationship still needs to be investigated. This empirical study is aimed at assessing risk-return behavior of Islamic stocks. This study employs cross sectional data of portfolio developed using beta-rank and market capitalization, in which daily data will better reflect the real volatility. This study also measures volatility of both conventional and Islamic stocks using Value-at-Risk (VaR). To check whether Islamic stocks are immune from any impact of financial crisis, this study utilizes three periods of observation, i.e., before, during and after the 2008 crisis. This study assesses risk and return using Multi-index model, in which variables tested are the respective fundamental factors. Results of this study will provide more accurate approach in Islamic stocks analysis.

【 授权许可】

CC BY-NC