eng Science and Education Publishing International Journal of Global Energy Markets and Finance 2018-08-03 1 1 26 40 10.12691/ijgefm-1-1-5 IJGEFM2018115 article Majoul Neila m.neila@hotmail.fr 1 Hellara Slaheddine 1 Higher Institute of Management, Tunis University, Tunisia In the current study, we assess the risk from conventional and Islamic stock indices under CAPM downside risk. We apply the DCC-GARCH and the BEKK-GARCH models to create the time-varying betas for the conventional and Islamic stock indices of 7 countries: Malaysia, Bahrain, Kuwait, Oman, Qatar, the United Arab Emirates and Indonesia. We use daily data, from 10 August 2006 to 26 November 2015. We examined how the restrictions imposed by Islamic law affect the risk. The results show no remarkable difference between the two classes of stock indices. This can be explained by the contradictory effect of filtering criteria on risk. Also, the results showed that the measures Downside risk are more appropriate than traditional measures for both Islamic and conventional stock indices. http://pubs.sciepub.com/ijgefm/1/1/5/ijgefm-1-1-5.pdf Time-Varying Beta CAPM downside risk measures Stock market indices Islamic finance