Title: A statistical analysis of uncertainty for conventional and ethic investments
Authors: Nabila Jawadi - IPAG Business School (France) [presenting]
Abdoulkarim Idi cheffou - EDC Paris Business School (France)
Fredj Jawadi - University of Evry (France)
Abstract: The aim is to estimate and compare uncertainty for two classes of ethic shares (Islamic stock Market and Social and Responsible Investments) with reference to the US conventional stock market. To this end, we use the class of GARCH modeling to measure uncertainty for three major stock indexes (Dow Jones Industrial Index, Dow Jones Islamic Index, Dow Jones Sustainable Index) over the period 1996-2017. Our analysis points to significant difference of uncertainty level across conventional and ethic investments that varies with market state (calm period, crisis period). These findings might have implications for investors to adjust and optimize their portfolio composition.