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Risk-return characteristics of Islamic equity indices: Multi-timescales analysis

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  • Dewandaru, Ginanjar
  • Bacha, Obiyathulla Ismath
  • Masih, A. Mansur M.
  • Masih, Rumi

Abstract

This paper is motivated by the heightened interest in investing in Islamic equities. The paper is the first attempt at analysing the risk-return characteristics of Islamic indices at different timescales by applying a relatively new approach in finance known as wavelet analysis. We analyze the Dow Jones indices of 11 countries, mostly emerging markets, and 10 global sectors between 2008 and 2012. We focus on exploring the multi-horizon nature of systemic risk (market beta), average return, volatility, and correlation.

Suggested Citation

  • Dewandaru, Ginanjar & Bacha, Obiyathulla Ismath & Masih, A. Mansur M. & Masih, Rumi, 2015. "Risk-return characteristics of Islamic equity indices: Multi-timescales analysis," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 115-138.
    • Handle: RePEc:eee:mulfin:v:29:y:2015:i:c:p:115-138
    DOI: 10.1016/j.mulfin.2014.11.006
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    More about this item

    Keywords

    Shariah-compliant stocks; Risk-return profile; Systemic risk; Wavelet analysis; Islamic finance;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance
    • P5 - Political Economy and Comparative Economic Systems - - Comparative Economic Systems

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