The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors
By Buerhan Saiti, O. Bacha, Mansur Masih. 2014
200 citations recorded by the source corpus.
A major issue in both Islamic finance and conventional finance is whether the shocks to the volatilities in the asset returns are substitutes or complements in terms of taking risk. An understanding of how volatilities of and correlations between asset returns change over time including their directions (positive or negative) and size (stronger or weaker) is of crucial importance for both the domestic and international investors with a view to diversifying their portfolios for hedging against unforeseen risks. This study is the first attempt to advance the frontier of knowledge particularly in the fast growing field of Islamic Finance through the application of the recently-developed Dynamic Multivariate GARCH approach. Our study is focused on investigating whether Islamic stock indices provide special avenue for the US-based investors. Our findings based on the Dynamic Conditional Correlation (DCC) tend to suggest: both the conventional and Islamic MSCI indices of Japan, GCC ex-Saudi, Indonesia, Malaysia and Taiwan provide better diversification benefits compared to Korea, Hong Kong, China and Turkey. It tends to suggest that the Islamic countries provide better diversification benefits compared to the Far East countries with strong policy implications for the domestic and international investors in their portfolio diversification for hedging against unforeseen risks.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1beaa2c8cea39d1e2bb46279bf602209cdadffe3
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
In Finance
Citations in the corpus
- Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications (2017, unknown): “…some studies suggest that combining the conventional U.S. markets with emerging Islamic equity markets leads to improved portfolio performance (see Majdoub and Mansour, 2014; Saiti et al., 2014). account the interactions of such sector indexes can be counted on the fingers of one hand.”
- Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis (2016, background): “The first group is within the East-Asian region, while the second group belongs to the OIC countries (Saiti, Bacha, and Masih 2014).”