Emerging market portfolios and Islamic financial markets: Diversification benefits and safe havens

Basit Öğe Kaydı
dc.authoridBuğan, Mehmet Fatih/0000-0001-9027-9532
dc.authoridDibooğlu, Selahattin/0000-0002-3865-5868
dc.authorwosidBuğan, Mehmet Fatih/L-5579-2019
dc.contributor.authorBuğan, Mehmet Fatih
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorDibooğlu, Sel
dc.date.accessioned2023-04-20T08:04:12Z
dc.date.available2023-04-20T08:04:12Z
dc.date.issued2022
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractWe 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.
dc.identifier.doi10.1016/j.bir.2021.01.007
dc.identifier.endpage91
dc.identifier.issn2214-8450
dc.identifier.issn2214-8469
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85101344316
dc.identifier.scopusqualityQ1
dc.identifier.startpage77
dc.identifier.urihttps://doi.org/10.1016/j.bir.2021.01.007
dc.identifier.urihttps://hdl.handle.net/20.500.11776/11014
dc.identifier.volume22
dc.identifier.wosWOS:000800912700008
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofBorsa Istanbul Review
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectPortfolio Allocation
dc.subjectIslamic Stocks
dc.subjectRisk Spillovers
dc.subjectEquity Indexes
dc.subjectVolatility Spillover
dc.subjectRisk
dc.subjectUs
dc.subjectCausality
dc.subjectInvestment
dc.subjectContagion
dc.subjectPerformance
dc.subjectVariance
dc.subjectCrisis
dc.titleEmerging market portfolios and Islamic financial markets: Diversification benefits and safe havens
dc.typeArticle

Dosyalar

Orijinal paket
Listeleniyor 1 - 1 / 1
Küçük Resim
İsim:
11014.pdf
Boyut:
1.97 MB
Biçim:
Adobe Portable Document Format
Açıklama:
Tam Metin / Full Text
İndir

Koleksiyon

WoS İndeksli Yayınlar Koleksiyonu
İktisadi ve İdari Bilimler Fakültesi Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu