Potential diversification benefits across global Islamic equity markets

In view of the increasing interests on the Islamic stock markets as a potential avenue for portfolio diversification, this study is indeed timely to assess the degree of integration among five major Islamic stock markets, namely Malaysia, Indonesia, Japan, the UK and the US. It also attempts to empi...

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Main Authors:	Abd. Majid, M. Shabri, Kassim, Salina
Format:	Article
Language:	English
Published:	The Statistical, Economic and Social Research and Training Centre for Islamic Countries (SESRIC) 2010
Subjects:	HB Economic Theory
Online Access:	http://irep.iium.edu.my/18870/ http://irep.iium.edu.my/18870/ http://irep.iium.edu.my/18870/1/potential_diversification_benefits_across_global_Islamic_equity_markets.pdf

id	iium-18870
recordtype	eprints
spelling	iium-188702012-08-07T00:34:26Z http://irep.iium.edu.my/18870/ Potential diversification benefits across global Islamic equity markets Abd. Majid, M. Shabri Kassim, Salina HB Economic Theory In view of the increasing interests on the Islamic stock markets as a potential avenue for portfolio diversification, this study is indeed timely to assess the degree of integration among five major Islamic stock markets, namely Malaysia, Indonesia, Japan, the UK and the US. It also attempts to empirically explore the nature of the long-run equilibrium relationship among the major Islamic stock indexes and to examine the dynamic causal linkages among them. Based on weekly closing stock indexes of the selected stock markets from 1 January 1999 to 31 August 2006, this study relies on a two-step estimation using the Auto- Regressive Distributed Lag (ARDL) and the Vector Error Correction Model (VECM) based on the Generalized Method of Moments (GMM). The study finds that investors who are interested to diversify their portfolio can gain benefits by diversifying in the Islamic stock markets across economic grouping such as that in the developed and developing countries. However, limited benefits are available if investors only diversify their investments within the same economic groupings. The Statistical, Economic and Social Research and Training Centre for Islamic Countries (SESRIC) 2010 Article PeerReviewed application/pdf en http://irep.iium.edu.my/18870/1/potential_diversification_benefits_across_global_Islamic_equity_markets.pdf Abd. Majid, M. Shabri and Kassim, Salina (2010) Potential diversification benefits across global Islamic equity markets. Journal of Economic Cooperation and Development, 31 (4). pp. 103-126. ISSN 1308-7800 http://www.sesric.org/jecd/jecd_articles/ART10020401-2.pdf
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HB Economic Theory
spellingShingle	HB Economic Theory Abd. Majid, M. Shabri Kassim, Salina Potential diversification benefits across global Islamic equity markets
description	In view of the increasing interests on the Islamic stock markets as a potential avenue for portfolio diversification, this study is indeed timely to assess the degree of integration among five major Islamic stock markets, namely Malaysia, Indonesia, Japan, the UK and the US. It also attempts to empirically explore the nature of the long-run equilibrium relationship among the major Islamic stock indexes and to examine the dynamic causal linkages among them. Based on weekly closing stock indexes of the selected stock markets from 1 January 1999 to 31 August 2006, this study relies on a two-step estimation using the Auto- Regressive Distributed Lag (ARDL) and the Vector Error Correction Model (VECM) based on the Generalized Method of Moments (GMM). The study finds that investors who are interested to diversify their portfolio can gain benefits by diversifying in the Islamic stock markets across economic grouping such as that in the developed and developing countries. However, limited benefits are available if investors only diversify their investments within the same economic groupings.
format	Article
author	Abd. Majid, M. Shabri Kassim, Salina
author_facet	Abd. Majid, M. Shabri Kassim, Salina
author_sort	Abd. Majid, M. Shabri
title	Potential diversification benefits across global Islamic equity markets
title_short	Potential diversification benefits across global Islamic equity markets
title_full	Potential diversification benefits across global Islamic equity markets
title_fullStr	Potential diversification benefits across global Islamic equity markets
title_full_unstemmed	Potential diversification benefits across global Islamic equity markets
title_sort	potential diversification benefits across global islamic equity markets
publisher	The Statistical, Economic and Social Research and Training Centre for Islamic Countries (SESRIC)
publishDate	2010
url	http://irep.iium.edu.my/18870/ http://irep.iium.edu.my/18870/ http://irep.iium.edu.my/18870/1/potential_diversification_benefits_across_global_Islamic_equity_markets.pdf
first_indexed	2023-09-18T20:28:06Z
last_indexed	2023-09-18T20:28:06Z
_version_	1777408552977039360

Potential diversification benefits across global Islamic equity markets

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