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  • 标题:Tail risk analysis of the S&P/OIC \{COMCEC\} 50 index
  • 本地全文:下载
  • 作者:Mahmoud Bekri ; Young Shin (Aaron) Kim
  • 期刊名称:Borsa Istanbul Review
  • 印刷版ISSN:2214-8450
  • 出版年度:2015
  • 卷号:15
  • 期号:1
  • 页码:1-16
  • DOI:10.1016/j.bir.2014.12.001
  • 出版社:Elsevier B.V.
  • 摘要:Abstract The S&P/OIC \{COMCEC\} 50 Sharia index is a joint index created by the organization of the Islamic conference (OIC) member states' stock exchanges forum and S&P indices. It is a Sharia-compliant benchmark of the 50 leading companies from OIC-members. In Islamic finance, the portfolio manager (mudharib) is committed to use advanced models and reliable tools, according to the safety-first rule of investing (hifdh almal) Sharia rule. We suggest, based on the empirical properties of the daily data, three approaches for catching the fat tails of the S&P/OIC \{COMCEC\} 50, using a two-step process: (1) the time-series model, to explain the clustering of volatility and (2) the heavy-tailed model for the filtered residuals. We show how the use of the stable distributions achieves a great amelioration of the modelling of the S&P/OIC \{COMCEC\} 50, considering the different statistical tests and in terms of the assessment of the value of tail risk.
  • 关键词:Islamic stock index ;Tail risk ;Stable and tempered stable distributions
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