Systematic Risk in Conventional and Islamic Equity Markets
Year: 2016
Type: article
Abstract: We aim to compare the systematic risk in conventional and Islamic equity markets by introducing two dynamic risk measures. Accordingly, the level of the systematic risk in conventional markets is slightly higher than the risk in Islamic markets for most of the time. However, this difference is significant in less than 3% of the sample period. More importantly, there is no significant difference in the levels of systematic risk during the global financial crisis of 2008, suggesting that Islamic equities are not able to provide a lower market risk compared with their conventional counterparts in financial turbulent times.
Source: International Review of Finance
DOI: 10.1111/irfi.12077
Author: Ahmet Sensoy
Institution: Borsa Istanbul (Turkey)
Language: English
Subfield: Accounting
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2289104279