Differentiation of Market Risk Characteristics among Sharia Compliant and Conventional Equities listed on the Pakistani Capital Market - KSE 100 Index over a selective time period
AbstractThis technical paper highlights the substantive and notable Market Risk difference among Islamic and Conventional Securities with respect to their Actual Price Volatility Risk Characteristics in context of Listed Pakistani Capital Markets. The data analyzes market risk of each listed security based on price series of the last five years drawn from the KSE 100 Index. We have used KMI 30 Index within KSE 100 Index to separate Islamic Stocks from their conventional counterparts. The study has applied two different market risk measurement methods of VaR - Value at Risk calculation such as Historical Simulation and VCV â Variance Covariance. In this paper three different confidence intervals are applied distinctly but simultaneously to both methods of VaR Calculation and groups of stocks ie (Islamic/Sharia Compliant and Conventional Equities). At the end, Percentiles are used to classify VaR measurements belonging to each group of stock. The Null Hypothesis is tested using a difference between means of two populationsâ z test statistic model at given 5% level of significance. The intention of writing this paper was to technically âfill the literature gapâ which exists within the purview of literature review covering both areas in Risk Finance and Islamic Finance.
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Bibliographic InfoPaper provided by Job Market Papers in its series 2013 Papers with number phu395.
Date of creation: 02 Dec 2013
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Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-06 (All new papers)
- NEP-RMG-2013-12-06 (Risk Management)
- NEP-UPT-2013-12-06 (Utility Models & Prospect Theory)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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