Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis

Background:A low correlation between returns of cross-border stock market indices allows investors to minimize portfolio risk through international diversification. Due to high comovement among conventional stock indices, international investors are looking for different cross-border or asset cla...

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Main Author: Saiti, Buerhan
Format: Article
Language:English
Published: INSI Publications 2014
Subjects:
Online Access:http://irep.iium.edu.my/44499/
http://irep.iium.edu.my/44499/
http://irep.iium.edu.my/44499/1/18-30.pdf
id iium-44499
recordtype eprints
spelling iium-444992018-06-19T06:59:54Z http://irep.iium.edu.my/44499/ Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis Saiti, Buerhan HG4001 Financial management. Business finance. Corporation finance. Background:A low correlation between returns of cross-border stock market indices allows investors to minimize portfolio risk through international diversification. Due to high comovement among conventional stock indices, international investors are looking for different cross-border or asset classes such as ethical and Shari‟ah-compliant investments to reap the benefits of diversification. Objective: This paper investigates the comovement of conventional and Islamic stock indices in the daily returns among conventional and Islamic stock indices in East Asia and selective Islamic countries through the application of cointegration analysis. Our study is focused on investigating the following empirical question: Are the Islamic stock indices less cointegrated with the US market compared to that of the conventional indices with the US? Results: Our findings based on several cointegration techniques tend to suggest: the stock indices of Islamic countries cointegrated with the US stock index is weaker compared to that of the non-Islamic countries. This observation is based on the number of cointegrating vectors in Islamic countries with the US being much less compared to the number of cointegrating vectors in the non-Islamic countries with the US. Conclusion:The evidence of less cointegration between the stock indices of Islamic countries (compared to non-Islamic countries) with the US stock index, indicates the possibility of potential gains through diversification of Islamic investment portfolios with the US market. Knowledge of financial cointegration among stock indices is important for portfolio diversification by international investors. INSI Publications 2014-07 Article PeerReviewed application/pdf en http://irep.iium.edu.my/44499/1/18-30.pdf Saiti, Buerhan (2014) Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis. Australian Journal of Basic and Applied Sciences, 8 (10). pp. 18-30. ISSN 1991-8178 http://ajbasweb.com/old/ajbas/2014/July/18-30.pdf
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HG4001 Financial management. Business finance. Corporation finance.
spellingShingle HG4001 Financial management. Business finance. Corporation finance.
Saiti, Buerhan
Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis
description Background:A low correlation between returns of cross-border stock market indices allows investors to minimize portfolio risk through international diversification. Due to high comovement among conventional stock indices, international investors are looking for different cross-border or asset classes such as ethical and Shari‟ah-compliant investments to reap the benefits of diversification. Objective: This paper investigates the comovement of conventional and Islamic stock indices in the daily returns among conventional and Islamic stock indices in East Asia and selective Islamic countries through the application of cointegration analysis. Our study is focused on investigating the following empirical question: Are the Islamic stock indices less cointegrated with the US market compared to that of the conventional indices with the US? Results: Our findings based on several cointegration techniques tend to suggest: the stock indices of Islamic countries cointegrated with the US stock index is weaker compared to that of the non-Islamic countries. This observation is based on the number of cointegrating vectors in Islamic countries with the US being much less compared to the number of cointegrating vectors in the non-Islamic countries with the US. Conclusion:The evidence of less cointegration between the stock indices of Islamic countries (compared to non-Islamic countries) with the US stock index, indicates the possibility of potential gains through diversification of Islamic investment portfolios with the US market. Knowledge of financial cointegration among stock indices is important for portfolio diversification by international investors.
format Article
author Saiti, Buerhan
author_facet Saiti, Buerhan
author_sort Saiti, Buerhan
title Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis
title_short Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis
title_full Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis
title_fullStr Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis
title_full_unstemmed Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis
title_sort integration between the conventional and islamic stock indices with the us stock market: evidence from cointegration analysis
publisher INSI Publications
publishDate 2014
url http://irep.iium.edu.my/44499/
http://irep.iium.edu.my/44499/
http://irep.iium.edu.my/44499/1/18-30.pdf
first_indexed 2023-09-18T21:03:16Z
last_indexed 2023-09-18T21:03:16Z
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