Volatility contagion and portfolio diversification among Sharīʿah and conventional indices : an evidence by MGARCH models
Other Title(s)
عدوى التقلبات و تنوع التصورات في أحكام الشريعة الإسلامية و الأحكام التقليدية : إثبات توكيدي من خلال تطبيق نماذج MGARCH
Joint Authors
Shaykh, Shafiqah Birwin
Dar, Shafqat Shafi
Rather, Sajad Ahmad
Source
Journal of King Abdulaziz University : Islamic Economics
Issue
Vol. 33, Issue 1 (31 Jan. 2020), pp.35-55, 21 p.
Publisher
King Abdulaziz University Scientific Publishing Center
Publication Date
2020-01-31
Country of Publication
Saudi Arabia
No. of Pages
21
Abstract EN
Risk mitigation is one of the main concerns for an investor, and has gotten renewed attention after the 2007-2008 financial crisis.
This paper tries to examine the scope of Sharīʿah indices in offering an opportunity for portfolio diversification.
The paper empirically analyzes the existence of volatility contagion among conventional and Sharīʿah indices and delves into the presence of portfolio diversification opportunities among them.
The considered sample ranges from 11th July 2008 to 30th July 2018, and includes conventional and Sharīʿah indices of the major economies and regions of the world (USA, Asia, Africa, and Europe).
We employ ARDL cointegra-tion and MGARCH family models viz.
DCC and BEKK.
The results illustrate a clear assortment among Sharīʿah and conventional indices, suggesting an opportunity for portfolio diversification.
ARDL models espouse weak cointegration among the indices, particularly during the financial crisis period.
Furthermore, the BEKK model also indicates little volatility contagion for this period.
The findings of this study are supportive of the argument that Sharīʿah compliant indices offer a feasible and practical opportunity for portfolio diversification.
American Psychological Association (APA)
Shaykh, Shafiqah Birwin& Dar, Shafqat Shafi& Rather, Sajad Ahmad. 2020. Volatility contagion and portfolio diversification among Sharīʿah and conventional indices : an evidence by MGARCH models. Journal of King Abdulaziz University : Islamic Economics،Vol. 33, no. 1, pp.35-55.
https://search.emarefa.net/detail/BIM-1279387
Modern Language Association (MLA)
Shaykh, Shafiqah Birwin…[et al.]. Volatility contagion and portfolio diversification among Sharīʿah and conventional indices : an evidence by MGARCH models. Journal of King Abdulaziz University : Islamic Economics Vol. 33, no. 1 (Jan. 2020), pp.35-55.
https://search.emarefa.net/detail/BIM-1279387
American Medical Association (AMA)
Shaykh, Shafiqah Birwin& Dar, Shafqat Shafi& Rather, Sajad Ahmad. Volatility contagion and portfolio diversification among Sharīʿah and conventional indices : an evidence by MGARCH models. Journal of King Abdulaziz University : Islamic Economics. 2020. Vol. 33, no. 1, pp.35-55.
https://search.emarefa.net/detail/BIM-1279387
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 52-53
Record ID
BIM-1279387