Comparison of Islamic and Conventional Bank Stocks by Value-at-Risk Method
10 Pages Posted: 5 Apr 2016
Date Written: March 31, 2016
This article is focused on comparison of Islamic and conventional bank stock volatility by VaR (Value-At-Risk) risk assessment method. The performed analysis has shown that factors affecting stock values for the different financial models are very similar, as well as that including stocks of both Islamic and conventional banks to an investor’s portfolio gives no significant benefits in terms of diversification.
Keywords: Islamic finance, Islamic banking, market risk, portfolio risk, volatility
JEL Classification: F33, G21, C22, C53
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