Are Islamic Indexes more Volatile than Conventional Indexes? Evidence from Dow Jones Indexes
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.
|Date of creation:||14 Mar 2012|
|Date of revision:|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00678895|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-00678895. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.