درک خطرات سیستماتیک متغیر زمان در شاخص های اساسی اسلامی و متعارف

This paper examines the nature of time-varying systematic risk for both Islamic and non-Islamic sectoral indices. The novelty lies in the analysis of behavioural changes in beta according to the global economic state. Using daily stock market return data on 10 global sectors, we show that both Islamic and conventional indices follow a similar cyclical pattern over time. The sectoral beta turns out to be smaller for the Islamic market compared to the conventional market. These results remain robust to multiple additional tests. On this basis, we argue that a lower systematic risk of Islamic equities can offer portfolio diversification opportunities.