Comparison of Islamic and conventional bank stocks by Value-At-Risk method

Nursultan Abdrashev


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.

Full Text:



Bekkin, Renat & Yandiev, Magomet. Credit in the Structure of the Market Quotation of Financial Assets in Relation to the Islamic Financial Law. Problemy Sovremennoy Economiki, № 1, 2010. URL:

Cakir Selim & Raei Faezeh; Sukuk vs. Eurobonds: Is There a Difference in Value-at-Risk? IMF Working Paper 07/237; October 1, 2007.

Derbel, Hatem, Bouraoui, Taoufik, & Dammak, Neila. (2011). Can islamic finance constitute a solution to crisis. International Journal of Economics and Finance, 3(3), 9.

Derigs, Ulrich, & Marzban, Shehab. (2009). New strategies and a new paradigm for syariah compliant portfolio optimization Journal of Banking & Finance, 33, 11.

Guyot, Alexis. (2012). Efficiency and dynamics of islamic investment: Evidence of geopolitical effects on Dow Jones islamic market indexes. Emerging Market Finance & Trade, 47(6), 22.

Herwany, Aldrin, & Febrian, Erie. (2008). Co-integration and causality analysis on developed asian market for risk management & portfolio selection. Gadjah Mada International Journal of Business, 10(3), 28.

Musaev, Rasul & Magomedova, Yulduz. Special regulations of Islamic financial institutions, 2015.URL:

Nikiforova V. Security market. Teaching aid. SPBU - Faculty of Economics, 2010.

Scheherazade S. Rehman, Hossein Askari : An Economic Islamicity Index (EI2) // Global Economy Journal, 2010.

Selim, Tarek H. (2008). An Islamic capital asset pricing model. Humanomics, 24(2), 8.

Supervisory framework for the use of "backtesting" in conjunction with the internal models approach to market risk capital requirements Basle Committee on Banking Supervision, 1996. URL:

Yusop, Mohd Mahyudi Bin Mohd. (2008). The Malaysian islamic stock market: a study on performance and the conditional capital asset pricing model (Doctoral), International Islamic University Malaysia, Malaysia.


  • There are currently no refbacks.

Copyright (c) 2016 Nursultan Abdrashev

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.