Are Islamic Indexes more Volatile than Conventional Indexes? Evidence from Dow Jones Indexes
type: Dataset
description: 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.
issued: 2026-05-24T19:44:23.153680
language: en
modified: 2026-05-24T19:44:23.153686
contact point: Organization
  fn: CCSD
keyword: infoeu-reposemanticspreprint
keyword: preprints-working-papers-
keyword: shsecohumanities-and-social-scienceseconomics-and-finance
keyword: shsgestionhumanities-and-social-sciencesbusiness-administration
landing page: https://hal.science/hal-00678895

Are Islamic Indexes more Volatile than Conventional Indexes? Evidence from Dow Jones Indexes
type: Distribution
format: HTML
issued: 2026-05-24T19:44:23.188924
modified: 2026-05-24T19:44:23.138835
access URL: https://hal.science/hal-00678895

test_moissonnage_selune
type: Agent