التكامل الاقتصادي
Volume 10, Numéro 1, Pages 141-150
2022-03-31

Empirical Stylized Facts Of Financial Assets A Comparative Study Between Islamic And Conventional Index

Authors : Boumimez Fayçal .

Abstract

This study examine whether the Dow Jones Islamic Index shares the same stylized facts with the traditional Dow Jones Index, where the most important empirical statistical characteristics of the financial market indices in question have been adopted, namely: stationarity of the two price series, autocorrelation of the series of returns and squared returns, The clustering of the volatility and normality of returns’ series, we used 10-year of daily price data from 2010 to 2021 which is equivalent to 3272 observations for each index. The results showed that the traditional and Islamic Dow Jones indexes are quite non stationary by using several tests, and also the returns of the two indexes are not autocorrelated, the study also showed that the series of returns for both index witness clusters of volatility during time periods in which the market is known financial disturbances. In addition, the empirical distribution is not symmetrical and leptokurtic for the two indexes

Keywords

Empirical Stylized Facts ; Conventional Dow Jones index ; Islamic Dow Jones index ; Stationarity ; Volatility Clustering