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Are Islamic Indexes more Volatile than Conventional Indexes? Evidence from Dow Jones Indexes

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Author Info

  • Amélie Charles

    (Audencia - Audencia)

  • Olivier Darné

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272)

  • Adrian Pop

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272)

Abstract

We examine whether global or local events are important drivers in causing major shifts and excessive volatility in Islamic indexes than in conventional indexes. We apply an iterative cumulative sum of squares (ICSS) algorithm to identify structural breaks in the volatility of several major Dow Jones Islamic and conventional indexes over the period 1996-2009. The results show that both indexes have been affected by variance changes. The null hypothesis of equality of variance between both indexes is not rejected for the majority of sub-periods defined from ICSS. When the null hypothesis is rejected, the Islamic indexes exhibit slightly highest volatilities.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number hal-00678895.

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Date of creation: 14 Mar 2012
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Handle: RePEc:hal:wpaper:hal-00678895

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00678895
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