Emerging market portfolios and Islamic financial markets: Diversification benefits and safe havens
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Dosyalar
Tarih
2022
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
We examine the relationship between Islamic and conventional stock market returns to see if Islamic financial markets provide portfolio diversification benefits and safe havens during turbulent times. Using daily data from January 1996 through September 2020 we consider conventional emerging stock market returns and some Islamic stock market returns and examine their interactions using causality-in-variance, dynamic conditional correlations, optimal hedge ratios, and causality-in-risk tests. Causality-in-variance test results show causality between Islamic stock returns and all emerging stock returns which indicates Islamic markets provide limited safe havens. Results from both time-varying conditional correlations and the hedge ratios show that there are positive and significant correlations between emerging stock markets and Dow Jones Islamic Market Index, which implies limited portfolio diversification benefits afforded by Islamic stock markets. Copyright (C) 2021, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.
Açıklama
Anahtar Kelimeler
Portfolio Allocation, Islamic Stocks, Risk Spillovers, Equity Indexes, Volatility Spillover, Risk, Us, Causality, Investment, Contagion, Performance, Variance, Crisis
Kaynak
Borsa Istanbul Review
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
22
Sayı
1
