Comparison of Islamic and Conventional Bank Stocks by Value-at-Risk Method

10 Pages Posted: 5 Apr 2016

See all articles by Nursultan Abdrashev

Nursultan Abdrashev

Moscow State University - Faculty of Economics

Date Written: March 31, 2016

Abstract

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

Suggested Citation

Abdrashev, Nursultan, Comparison of Islamic and Conventional Bank Stocks by Value-at-Risk Method (March 31, 2016). Available at SSRN: https://ssrn.com/abstract=2756905 or http://dx.doi.org/10.2139/ssrn.2756905

Nursultan Abdrashev (Contact Author)

Moscow State University - Faculty of Economics ( email )

1-46 Leninskiye Gory
Moscow, 119991
Russia

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