Mean Return Research Articles

Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility?

This paper explores whether the dispersion in forecasted crude oil prices from the European Central Bank Survey of Professional Forecasters can provide insights for predicting crude oil return volatility. It is well-documented that higher disagreement among forecasters of asset price implies greater uncertainty and higher return volatility. Using several Generalized Autoregressive Conditional Heteroskedasticity with Mixed Data Sampling (GARCH-MIDAS) models, we find, based on the in-sample estimation results, the oil market experiences greater volatility when the forecasters’ disagreements increase. The model that integrates both historical realized variance and forward-looking forecaster disagreement into the conditional variance, along with the model focusing solely on pure forward-looking forecaster disagreement, exhibits a much superior fit to the data compared to the model relying solely on realized variance and the models considering forward-looking forecasted mean return. The out-of-sample forecasting results unequivocally illustrate that incorporating forecaster disagreement offers valuable insights, markedly enhancing the predictive accuracy of crude oil return volatility within the GARCH-MIDAS model. Moreover, we illustrate the economic benefit of considering forecasters’ disagreement when forecasting volatility, demonstrating its significance for VaR risk management.

Probabilistic estimation of the source component of seismic hazard in North-Eastern Brazil

Stable continental regions pose unique challenges for conducting Probabilistic Seismic Hazard Analysis because the earthquake activity driving mechanisms are poorly understood. For instance, the lower seismicity (hence the paucity of data) and the absence of well-defined active fault systems complicate accurately determining seismic source parameters. Northeastern Brazil is a stable continental region exhibiting moderate-size events recorded with significant seismic intensities and provoking the collapse of poorly constructed buildings in the last century. Thus, assessing the seismic hazard is critical for seismic risk mitigation. The seismic hazard depends on three components: source, path, and site, and here, we present the probabilistic seismic hazard analysis of the source component for NE Brazil. Spatial aggregation of earthquake sources outlined four areal seismic zones. A goodness-of-fit test rejected the Gutenberg-Richter model of magnitude frequency distribution in one of the studied seismic zones. For this reason, we estimated the magnitude probability distribution function in that zone using a nonparametric adaptive kernel estimator. In other zones the Gutenberg-Richter magnitude frequency model was applied. In either way of the magnitude probability distribution modelling we considered the upper bound for magnitude equal to 6.6 mR, based on the upper bound of a 95 % confidence interval for the standard normal distribution of palaeoearthquake sizes. Our findings suggests that potentially damaging events are likely to occur, and we cannot neglect chances for the occurrence of earthquakes exceeding 5.2 mR. The calculated mean return periods indicate significantly shorter intervals between consecutive large events than palaeoseismic records.

Calendar anomalies and asymmetric volatility of returns in the Indonesian stock market: conventional vs Islamic indices

Purpose This study aims to identify calendar anomalies that can affect stock returns and asymmetric volatility. Thus, the objective of this study is twofold: on the one hand, it examines the impact of calendar anomalies on the returns of both conventional and Islamic indices in Indonesia, and on the other hand, it analyzes the impact of these anomalies on return volatility and whether this impact differs between the two indices. Design/methodology/approach The authors apply the GJR-generalized autoregressive conditional heteroskedasticity model to daily data of the Jakarta Composite Index (JCI) and the Jakarta Islamic Index for the period ranging from October 6, 2000 to March 4, 2022. Findings The authors provide evidence that the turn-of-the-month (TOM) effect is present in both conventional and Islamic indices, whereas the January effect is present only for the conventional index and the Monday effect is present only for the Islamic index. The month of Ramadan exhibits a positive effect for the Islamic index and a negative effect for the conventional index. Conversely, the crisis effect seems to be the same for the two indices. Overall, the results suggest that the impact of market anomalies on returns and volatility differs significantly between conventional and Islamic indices. Practical implications This study provides useful information for understanding the characteristics of the Indonesian stock market and can help investors to make their choice between Islamic and conventional equities. Given the presence of some calendar anomalies in the Indonesia stock market, investors could obtain abnormal returns by optimizing an investment strategy based on seasonal return patterns. Regarding the day-of-the-week effect, it is found that Friday’s mean returns are the highest among the weekdays for both indices which implies that investors in the Indonesian stock market should trade more on Fridays. Similarly, the TOM effect is significantly positive for both indices, suggesting that for investors are called to concentrate their transactions from the last day of the month to the fourth day of the following month. The January effect is positive and statistically significant only for the conventional index (JCI) which implies that it is more beneficial for investors to invest only in conventional assets. In contrast, it seems that it is more advantageous for investors to invest only in Islamic assets during Ramadan. In addition, the findings reveal that the two indices exhibit lower returns and higher volatility, which implies that it is recommended for investors to find other assets that can serve as a safe refuge during turbulent periods. Overall, the existence of these calendar anomalies implies that policymakers are called to implement the required measures to increase market efficiency. Originality/value The existing literature on calendar anomalies is abundant, but it is mostly focused on conventional stocks and has not been sufficiently extended to address the presence of these anomalies in Shariah-compliant stocks. To the best of the authors’ knowledge, no study to date has examined the presence of calendar anomalies and asymmetric volatility in both Islamic and conventional stock indices in Indonesia.

Monetary Policy Spillovers and Inter-Market Dynamics Perspective of Preferred Habitat Model

This study advances the understanding of the Preferred Habitat Model’s capacity to shed light on the inter-market transfer of mean returns and the diffusion of price volatility in Pakistani investment markets. It examines the extent to which returns in one market exert a systematic influence on returns across others under the potential sway of interest rate policy shifts, USD exchange rate volatility, and domestic inflation trends. Employing a methodological arsenal that includes the GARCH process, enhanced by Dynamic Conditional Correlations (DCC), as well as the Markov Switching Model, this research assesses the propagation of mean returns and volatility across markets. The analysis uncovers significant linkages between monetary policy and stock market indices, underscoring the profound impact of monetary policy on cross-market performance transmission. These insights are pivotal for regulators overseeing the nuanced interaction between monetary policy and market performance. They are crucial for local and international investors interested in developing economies, especially in Pakistan’s markets.

Long‐term 4R nitrogen management in dryland wheat–fallow systems

AbstractSeveral short‐term studies have investigated 4R (right source, rate, time, and place) N management for dryland wheat (Triticum aestivum L.) production and profitability, but few long‐term studies exist in the United States or abroad. This study evaluated long‐term impacts of several aspects of 4R N management on dryland hard red wheat yield, protein, and return to N. Experiments were conducted at Nephi and Blue Creek, UT, during 1995–2007. Fourteen N treatments evaluated performance of starter fertilizer, fall applications of anhydrous ammonia (AA) with and without nitrapyrin (AA‐Nitrapyrin and AA, respectively), and several split applications in the fall and spring. Across years, winter wheat required N to increase yield, protein, and returns at both sites. Applying 56 kg N ha−1 as AA in the fall usually produced the best return to N compared to other N treatments. Starter N (6 kg N ha−1) at fall planting rarely increased yield, protein, or returns at either site. Across both sites, nitrapyrin increased mean annual yield by 0.6 Mg ha−1 and mean return to N by $150 ha−1. Spring application of N was rarely required and only increased yield in 13% of the years. Results indicate that nitrapryin is often needed with fall AA applications to optimize yield and returns and that starter N or extra N in the spring are rarely economical in dryland wheat in Utah and possibly the greater Intermountain West. Further, N rate had the most influence among 4Rs on wheat production and should be the focus of future efforts to improve 4R stewardship.

Return to Golf After Hip Arthroscopy: A Systematic Review of the Literature.

Patients experiencing pain from femoral acetabular impingement and considering hip arthroscopy may be concerned about their timeline to resume activities they enjoy, such as golf. The purpose of this study was to review current literature on return-to-play data after hip arthroscopy and to provide clinicians with data to set proper expectations with patients. The following terms were used to search PubMed and Embase electronic databases on October 18, 2023: hip, arthroscopy, arthroscopic, golf. Studies were included if they were in the English language, of Level 1 to 4 evidence, and contained data specific to golfers undergoing hip arthroscopy. Studies were excluded if they did not designate participants as golfers or did not specify return-to-play data. Editorials, case reports, and review articles were excluded. Screening was completed by 2 authors in a blind and duplicate manner. Systematic review. Level II. The following datapoints were extracted from each study: hip pathology and arthroscopic procedure data; number of players returning to golf and time from surgery to return; outcome score(s); and rehabilitation details. Descriptive statistics were calculated using Comprehensive Meta-Analysis software. The search returned 400 studies, of which 4 were included for analysis. Of these 4 studies, 2 specified return-to-play time. Of 95 golfers, 90 (94.7%) returned to golf successfully after arthroscopic hip surgery. Subjective and objective outcome scores improved postoperatively, including an increased average drive distance. Return to golf after hip arthroscopy is highly probable, with approximately 95% of patients throughout literature returning to play. A mean return time of 4.7 months for professional golfers and 7.2 months for amateurs, alongside improved subjective outcomes and performance metrics postsurgery, suggest patients can expect a relatively quick return to the course with similar or improved performance.

Analysis of Player Performance and Financial Costs Associated With Implementation of an Updated National Hockey League Concussion Protocol: A Retrospective Comparative Study.

An updated National Hockey League (NHL) concussion protocol (NHLCP) was established in the 2016-2017 season to mitigate the negative outcomes of sport-related concussions. However, few studies on the effects of implementing the NHLCP have been performed. To define concussion incidence and investigate differences in NHL player performance after a concussion during periods before and after NHLCP implementation and assess the financial impact on NHL teams associated with NHLCP implementation. Cohort study; Level of evidence, 3. This was a retrospective review of NHL players who sustained a concussion before (2000-2001 to 2015-2016 seasons) and after (2016-2017 to 2020-2021 seasons) implementing the NHLCP (pre-NHLCP and post-NHLCP groups). For each group, multiple performance metrics-including 30 days, 1 season, and 3 seasons before and after concussion-were compared for both groups. Return to play, total concussion cost, and association of return to play with cost were investigated using regression analysis. A total of 452 players (423 skaters, 29 goalies) sustained concussions during the study period, including 331 players (315 skaters, 16 goalies) in the pre-NHLCP group and 121 players (108 skaters, 13 goalies) in the post-NHLCP group. For both groups, no significant differences in standard performance were observed during the 30-day and 1-season periods before and after concussion. The mean return to play was significantly higher in the pre-NHLCP group than in the post-NHLCP group (20.1 vs 15.7 days; P = .022). The mean adjusted player salary was not different between groups; nonetheless, the mean adjusted replacement player salary was significantly higher in the post-NHLCP group ($744,505 vs $896,942; P = .032). The mean cost of time missed did not differ between groups. The mean return to play time significantly decreased over the entire study period (R2 = 0.33; P = .005), and the mean return to play time was positively associated with cost R2 = 0.215; P = .030). Concussion incidence did not change after implementation of the updated NHLCP; nonetheless, players had significantly less missed time from injury after protocol implementation. Changes in player performance 30 days and 1 year before and after concussion injury were not different before and after NHLCP implementation. No differences were found in the financial cost of concussions between the pre- and post-NHLCP groups, and missed time was significantly correlated with mean cost from missed time.

Comparative Analysis of Returns and Standard Deviations of Healthcare Companies’ Stocks: a Five-year Study (2019-2023)

This research conducts a comparative analysis of returns and standard deviations of healthcare companies’ stocks listed on the National Stock Exchange (NSE) over a five-year period from 2019 to 2023. The study aims to provide valuable insights for investors in the health sector, assisting them in balancing risk and return in their investment decisions. Secondary data sourced from the NSE website, publications, and journals is utilized, employing a descriptive research design. Statistical tools such as returns, beta, and standard deviation are used to analyze the data. The objectives include examining mean returns, assessing risk levels, contrasting achievements among healthcare corporations, and recommending suitable securities for investors. The findings offer actionable insights for investors aiming to optimize their investment outcomes within the healthcare industry. The investigations examines to the comparisons between healthcare companies’ stocks on NSE from 2019 to 2023. The intent is to assist with making informed decisions. Secondary data was collected from various sources, utilizing a descriptive design. Statistical tools such as returns; beta and standard deviation are applied to interpret the information. Key objectives include examining mean returns, evaluating risk, and recommending securities for investors. The results aim to provide useful recommendations for investment within the healthcare sector!.

In silico parametric analysis of femoro-jugular venovenous ECMO and return cannula dynamics

Background: Increasingly, computational fluid dynamics (CFD) is helping explore the impact of variables like: cannula design/size/position/flow rate and patient physiology on venovenous (VV) extracorporeal membrane oxygenation (ECMO). Here we use a CFD model to determine what role cardiac output (CO) plays and to analyse return cannula dynamics. Methods: Using a patient-averaged model of the right atrium and venae cava, we virtually inserted a 19Fr return cannula and a 25Fr drainage cannula. Running large eddy simulations, we assessed cardiac output at: 3.5–6.5 L/min and ECMO flow rate at: 2–6 L/min. We analysed recirculation fraction (Rf), time-averaged wall shear stress (TAWSS), pressure, velocity, and turbulent kinetic energy (TKE) and extracorporeal flow fraction (EFF = ECMO flow rate/CO). Results: Increased ECMO flow rate and decreased CO (high EFF) led to increased Rf (R = 0.98, log fit). Negative pressures developed in the venae cavae at low CO and high ECMO flow (high CR). Mean return cannula TAWSS was >10 Pa for all ECMO flow rates, with majority of the flow exiting the tip (94.0–95.8 %). Conclusions: Our results underpin the strong impact of CO on VV ECMO. A simple metric like EFF, once supported by clinical data, might help predict Rf for a patient at a given ECMO flow rate. The return cannula imparts high shear stresses on the blood, largely a result of the internal diameter.

Analysis of a portfolio selection model at three-moments

This work performs a numerical simulation for an investment portfolio selection model that considers the three first moments of asset returns distribution – mean return, variance, and skewness. The application of the model, based on data collected on the platform of a Brazilian stockbroker, allowed obtaining portfolios of maximum skewness for fixed values of expected return and weighted variance of the portfolio. The results are analyzed and presented graphically, giving rise to an optimal surface for triples of moments associated with portfolios of maximum skewness. Furthermore, this experiment allowed us to confirm the relevance of considering higher-order moments in the selection of investment portfolios and verifying the efficiency of the Three-Moments model, having as reference the Markowitz solution in his Mean-Variance model.

Firm’s Financial Performance: Case Study of the Philippine Property Sector

This study evaluates the financial performance of Philippine property sector companies. It also aims to help these businesses make informed financing choices that may affect their financial performance. This study is based upon Alexander Wall's (1919) theory of ratio analysis. The researcher employed historical design study. Using 2015–2021 financial data, the research examined all PSE property-related companies. The panel data analysis using a random effect parameter of the Linear Mixed Model was employed to examine time series of cross-section observations. According to this study, the average return on assets (ROA) over the course of six years was 0.05, indicating that the firm earned an average of five cents in profit per peso of assets held. The mean return on equity for the entire period is 0.05. The mean capital gains yield of the companies for the 6 years ranges from 0.12 to 0.19. It can be concluded that the property sector in the Philippines has demonstrated resilience. It is recommended that the PSE listed companies under the Property Sector may find the findings of this study helpful in formulating financing strategies that account for the impact of financial structure on their financial performance.

The Impact of ESG Rating on Hedging Downside Risks: Evidence from a Weight-Tilted Hang Seng Index

The study examines the return performance and resilience to market volatility of the recently introduced environment, social/sustainable, and governance (ESG) weight-tilted Hang Seng index compared to its parent, the Hang Seng index. The ESG-infused index has a higher mean return and lower return volatility than the parent index, although the differences are statistically and economically insignificant, a result consistent with the high correlation between the two index returns. Most importantly, the ESG weight-tilted index is more resilient to volatility spikes than the parent index and, therefore, has lower downside risks. The overall results show that stocks with high ESG ratings are less susceptible to trading pressures triggered by volatility-induced turnovers. The paper contributes to the literature by providing significant incremental information on the emerging market for ESG-related equity products in Hong Kong.

San Andreas Fault Earthquake Hazard Model Validation Using Probabilistic Analysis of Precariously Balanced Rocks and Bayesian Updating

Abstract The Mojave section of the San Andreas fault is the closest section to the megacity of greater Los Angeles. A major issue for the population is that the life-threatening hazard estimate of a future rare, large earthquake on this fault section is highly uncertain and untested at timescales and ground motions beyond limited historical recordings. Of relevance to this issue is that the nearby precariously balanced rocks at Lovejoy Buttes have survived these ground motions, despite the past tens of thousands of years of San Andreas fault earthquakes. Therefore, the fragility and age of these precariously balanced rocks provide crucial ground-motion constraints over the timescales of rare, large San Andreas fault earthquakes. We rigorously validate and update an earthquake hazard model for the Mojave section of the San Andreas fault using the independent observational data of precariously balanced rock survival at Lovejoy Buttes. The joint probability of survival of all five studied precariously balanced rocks was used to validate the hazard estimates and reweight the estimates using new Bayesian updating methods to deliver an improved, precariously balanced rock-informed earthquake hazard estimate. At an annual frequency of exceedance of 1×10−4 yr−1, equivalent to a mean return period of 10,000 yr, the precariously balanced rock survival data significantly reduced the mean hazard ground-motion estimate by 65% and the 5th–95th fractile uncertainty range by 72%. The magnitude of this inconsistency provides striking evidence for the need to reevaluate both the source and ground-motion components of our earthquake hazard model for the southern San Andreas fault.

Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance

We develop a robust mean-to-CVaR portfolio optimization model under interval ambiguity in returns means and covariance. The robust model satisfies second-order stochastic dominance consistency and is formulated as a semi-definite cone program. We use two controlled experiments to document the sensitivity of the optimal allocations to the ambiguity when asset correlation varies, and to the ambiguity intervals. We find that means ambiguity has a higher impact than covariance ambiguity. We apply the model to US equities data to corroborate works showing that ambiguity in mean returns induces a home bias; it can explain the puzzle in a two-country setting but not with three countries. We further establish that covariance ambiguity also induces bias, but with lower impact that can not explain the puzzle. Our results suggest what is needed for the ambiguity channel to provide a full explanation of the puzzle. The findings are robust to alternative model specifications and outliers.

FOURIER CAUSALITY AND VOLATILITY SPILLOVER PERSPECTIVES TO ANALYZE THE EFFECT OF TERRORISM ON TURKISH AND EUROPEAN STOCK MARKETS

Terrorism has become a curse for most of the underdeveloped economies. Even relatively developed regions like Europe and Turkey are struggling to combat it. Besides the economic and political consequences, terrorist activities also have psychological cost that may reflect in stock market. This study investigates the causal effects of systematic shocks on mean returns and volatility of the general and 14 sectoral indices in Europe and Turkey using contemporary causality tests like Fourier Toda-Yamamoto Causality test (Nazlioglu et al., 2016), Fourier Standard Granger Causality test (Enders and Jones, 2015), and Causality in Variance (Hafner and Herwartz, 2006). Tourism related sectors turn out to be fragile whereas financial sector have significant resilience to terrorist attacks. Moreover, the spillover analysis shows that the Turkish stock market turns out to be more fragile to terrorist attacks in Europe than the other way around.

Dynamics of the Inflation-Hedging Capabilities of Real Estate Investment Portfolios in the Nigerian Property Market

There has been a wide belief that real estate is a source of good investment portfolios because it has a hedge against inflation. Considering this notion, the present research examined the dynamics of the inflation-hedging capabilities of real estate investment in Nigeria’s three foremost property markets, Abuja (Maitama and Central Business District), Lagos (Lekki and Victoria Island), and Port Harcourt (Rumu Ibekwe and Aba Road). To achieve this aim, this study was carried out by exploring the returns on different types of commercial properties in the chosen location and investigating the effect of inflation on such returns in order to come up with the hedging capabilities of the assets. Out of the four property prime locations in Nigeria’s market, these selected study sites were purposely selected for investigation because they comprise the most desirable and preferred properties regarding location, standards, aesthetics, and value. From the data collected, a mean return, coefficient of variation, and ordinary least square regression analysis were completed. In terms of the coefficient of variation (CV), the findings reveal that the duplex in Port Harcourt exhibits the most performed investment, with a value of 0.33, compared to other locations. However, in terms of the expected return (ER), the duplex outperformed other property types in the different locations, with a return of 39.56%. Results also show that inflation has an adverse effect on the returns of the office space for the three locations considered, with the expected returns below 1%. The block of flats in Abuja has a complete defence against the three components of inflation, with a coefficient beta of 0.5633, 0.6586, and 0.8440, respectively. Thus, investors should consider inflation and other investment attributes when making decisions among arrays of investments. This will help guard against the widespread perception that real estate has a hedge against inflation. This paper adds to the existing literature on inflation hedging by investigating the effect of inflation on the real estate investment returns of commercial properties.

Is value investing based on scoring models effective? The verification of F-Score-based strategy in the Polish stock market

The aim of the paper is to analyse the effectiveness of F-Score-like models using the example of the Polish stock market. F-Score is a scoring model based on a high B/M investing strategy, which uses fundamental signals to assess the economic condition of an entity. So far, its effectiveness has been generally proven in numerous stock markets worldwide. However, no comprehensive study focusing on the Polish market has been conducted. Therefore, F-Score and similar models (FS-Score and PiotroskiTrfm) were analysed in this regard. It was shown that companies with higher scores generated positive both raw and market-adjusted returns on average. However, they were lower than the mean returns of low-score companies (for FS-Score) or total high B/M portfolio (regarding F-Score and PiotroskiTrfm). The results of the study show that F-Score, FS-Score and PiotroskiTrfm are generally effective investing tools. However, it might be more advisable for value investors to choose a total high B/M portfolio instead of shares of high-score entities according to F-Score or PiotroskiTrfm.

Loss Aversion Robust Optimization Model Under Distribution and Mean Return Ambiguity

From the aspect of behavioral finance, which is an emerging area integrating human behavior into finance, this work studies a robust portfolio problem for loss-averse investors under distribution and mean return ambiguity. A loss-aversion distributionally-robust optimization model is constructed if the return distribution of risky assets is unknown. Then, under the premise that the mean returns of risky assets belong to an ellipsoidal uncertainty set, a model under joint ambiguity in distribution and mean returns is constructed. This study solves both robust models and derives their analytical solutions, respectively. Moreover, the effect of ambiguity aversion and loss aversion on robust optimal portfolio returns is studied. The results show that ambiguity-neutral investors who do not know the return distribution obtain more robust optimal portfolio returns than ambiguity-averse investors who are unaware of both the distribution and mean return. The difference between them decreases with the increase of loss aversion coefficients and increases with ambiguity aversion coefficients. Both loss aversion and ambiguity aversion play important roles in investors’ behavioral portfolio selection.

The implied views of bond traders on the spot equity market

This study delves into the temporal dynamics within the equity market through the lens of bond traders. Recognizing that the riskless interest rate fluctuates over time, we leverage the Black-Derman-Toy model to trace its temporal evolution. To gain insights from a bond trader's perspective, we focus on a specific type of bond: the zero-coupon bond. This paper introduces a pricing algorithm for this bond and presents a formula that can be used to ascertain its real value. By constructing an equation that juxtaposes the theoretical value of a zero-coupon bond with its actual value, we can deduce the risk-neutral probability. It is noteworthy that the risk-neutral probability correlates with variables like the instantaneous mean return, instantaneous volatility, and inherent upturn probability in the equity market. Examining these relationships enables us to discern the temporal shifts in these parameters. Our findings suggest that the mean starts at a negative value, eventually plateauing at a consistent level. The volatility, on the other hand, initially has a minimal positive value, peaks swiftly, and then stabilizes. Lastly, the upturn probability is initially significantly high, plunges rapidly, and ultimately reaches equilibrium.

Do I slamic S tocks Outperform C onv entional S tocks During C risis Periods? A Global Comparison

Purpose: This study examines the performance of Islamic and Conventional stock indices during the Covid-19 pandemic crises. The aim of the study is to find the existence of safe havens in Islamic stock indices.
 Design/methodology/approach: The study uses mean and cumulative return values and the GARCH (1 1) model to examine the volatility performance of stock returns and the impact of Covid-19 on both indices.
 Findings: Our findings indicate that Islamic stock indices tend to outperform conventional indices during crisis periods, particularly in developing economies and in the short term. However, conventional stock indices exhibit stronger performance in the long run and post-crisis periods. Moreover, the study reveals that the effects of Covid-19 cases and deaths on both indices vary across countries. Additionally, Islamic stock returns demonstrate lower volatility compared to previous shocks and returns, whereas conventional indices experience higher volatility, particularly in developing countries. Therefore, the s tudy establishes that I slamic indices can serve as safe havens for investors in certain countries, but not universally.
 Research limitations/implications: The study can be extended and more effective by adding more crisis events and a number of years to examine long-term stock moments. The study can be helpful for investors in designing investment portfolios, especially in times of crisis where the majority of investors try to find safe havens for investment.
 Originality/value: This study is the first to examine the impact of recent crises on Islamic and conventional stock indices in the world's big stock markets. The study is also the first one to use the longest data period among the recent studies to differentiate the performance of Islamic and conventional indices.