To study the size of the risk on stock returns between the Sudanese stock market and the Jordanian stock market based on its approach to VaR

Abstract

Risk measurement in any financial market is a complex process that requires accurate information and data about the market as a whole and the most important factors surrounding it. Therefore, measuring each market risk is a difficult and complicated process for financial analysts for financial markets. On this basis, the VaR was proposed by the Basel Committee as a tool to measure market risk as a whole. Therefore, we will try to clarify the size of the risk on the returns of shares in both the Sudanese market and the Jordanian market as a comparative study between the two markets, Thus, the size of the known market risk on the returns of the shares of both markets can be observed in light of the fact that the Islamic market is free of interest transactions and thus the absence of the risk element associated with interest rate fluctuations. The most important results indicated that the risks associated with the returns of shares in the Islamic market are lower than the risks associated with the proceeds of shares in the riba market.