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- W3020549677 abstract "In this paper, we compare the performance of Islamic stock indices (ISI) and conventional stock indices (CSI) from FTSE, DJ, MSCI, S&Ps and Jakarta series using common risk-return metrics. The sample consists of 64 ISI and CSI, and covers the period from 2002 to 2017. The majority of the stock indices are from the Pacific Rim countries’ stock markets. Additionally, we employ the GARCH-M model to examine the impact of past volatility on spot returns. Findings suggest that the ISI are less sensitive to the average market movements compared to the CSI, but surprisingly offer similar raw returns suggesting primary support for the low risk-high return paradox. On further examination, results reveal that M 2 , Omega, Sharpe and Treynor measures indicate that ISI underperform CSI while Jensen’s alpha and Sortino ratio put ISI ahead of CSI. Moreover, findings show that pre-crisis winners (CSI) were losers during the 2008 crisis but subsequently recovered and ended up with higher returns than ISI. Findings also show that the previous volatility of stock returns can be potentially used for predicting future returns." @default.
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- W3020549677 date "2020-03-01" @default.
- W3020549677 modified "2023-09-23" @default.
- W3020549677 title "Risk-Reward Trade-Off and Volatility Performance of Islamic Versus Conventional Stock Indices: Global Evidence" @default.
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- W3020549677 doi "https://doi.org/10.1142/s0219091520500022" @default.
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