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Risk, Return, and Mean-Variance-Efficiency of Islamic and Non-Islamic Stocks

Jahromi, Maria


This study finds that Islamic stocks are more mean-variance efficient than non-Islamic stocks and the market because they reduce risk for the same level of returns. I combine a unique Malaysian dataset that identifies individual Islamic stocks since 1997 with a new method where I apply Islamic business activity and financial ratio screens to the universe of Malaysian stocks. Both datasets show that Islamic stocks have an annualised standard deviation that is on average 3.43-3.78 percentage...[Show more]

CollectionsANU Research Publications
Date published: 2013
Type: Conference paper


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