The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors

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 direct...

Full description

Bibliographic Details
Main Authors:	Saiti, Buerhan, Bacha, Obiyathulla Ismath, Masih, Mansur
Format:	Article
Language:	English
Published:	Elsevier 2014
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/44498/ http://irep.iium.edu.my/44498/ http://irep.iium.edu.my/44498/ http://irep.iium.edu.my/44498/1/44498.pdf

id	iium-44498
recordtype	eprints
spelling	iium-444982018-05-24T04:09:49Z http://irep.iium.edu.my/44498/ The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur HG4501 Stocks, investment, speculation 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. Elsevier 2014-12 Article PeerReviewed application/pdf en http://irep.iium.edu.my/44498/1/44498.pdf Saiti, Buerhan and Bacha, Obiyathulla Ismath and Masih, Mansur (2014) The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors. Borsa Istanbul Review, 14 (4). pp. 196-211. ISSN 2214-8450 http://www.sciencedirect.com/science/article/pii/S2214845014000313 10.1016/j.bir.2014.08.002
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors
description	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.
format	Article
author	Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur
author_facet	Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur
author_sort	Saiti, Buerhan
title	The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors
title_short	The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors
title_full	The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors
title_fullStr	The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors
title_full_unstemmed	The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors
title_sort	diversification benefits from islamic investment during the financial turmoil: the case for the us-based equity investors
publisher	Elsevier
publishDate	2014
url	http://irep.iium.edu.my/44498/ http://irep.iium.edu.my/44498/ http://irep.iium.edu.my/44498/ http://irep.iium.edu.my/44498/1/44498.pdf
first_indexed	2023-09-18T21:03:16Z
last_indexed	2023-09-18T21:03:16Z
_version_	1777410765021511680

The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors

Similar Items