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

Nursultan Abdrashev

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.

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References


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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.