An empirical study of Islamic equity as a better alternative during crisis using multivariate GARCH DCC
Joint Authors
Rizvi, Sayyid Aun R.
Arshad, Shaista
Source
Issue
Vol. 22, Issue 1 (31 May. 2014), pp.159-184, 26 p.
Publisher
Islamic Development Bank (IDB) Islamic Research and Training Institute (IRTI)
Publication Date
2014-05-31
Country of Publication
Saudi Arabia
No. of Pages
26
Main Subjects
Financial and Accounting Sciences
Topics
- Banks
- Islamic jurisprudence
- Financial crises
- Islam
- Justice
- Financing
- Financial markets
- Risk management
- Religious aspects
- Banking
- Global Financial Crisis (2008-2009)
- Profit-sharing
- Islamic Banks
Abstract EN
Risk Sharing is the core of the Islamic finance, the closest modern equivalent being equity investments.
Through the decades of Islamic Finance development scholars have stressed on equity as the most beneficial financial mechanism while most accept modern joint-stock companies as quasi Mushrakah and Murabah forms, but this segment is still small in Islamic finance.
Multitude of reasons contributes to it, primarily, the risk averseness and myth of equities as more risky alternate.
This paper attempts to investigate this myth utilizing MGARCH DCC method, by studying the volatilities and correlations of Islamic indices over a period of twelve years.
The findings are promising, suggesting a low moving correlation between the conventional and Islamic indices.
The results substantiate the authors’ argument, that during crisis, Islamic indices provide though not complete, but partial insulation, thus a safer haven.
This bodes well for a hugely untapped Islamic alternate investment avenue for exploration.
American Psychological Association (APA)
Rizvi, Sayyid Aun R.& Arshad, Shaista. 2014. An empirical study of Islamic equity as a better alternative during crisis using multivariate GARCH DCC. Islamic Economic Studies،Vol. 22, no. 1, pp.159-184.
https://search.emarefa.net/detail/BIM-540290
Modern Language Association (MLA)
Rizvi, Sayyid Aun R.& Arshad, Shaista. An empirical study of Islamic equity as a better alternative during crisis using multivariate GARCH DCC. Islamic Economic Studies Vol. 22, no. 1 (May. 2014), pp.159-184.
https://search.emarefa.net/detail/BIM-540290
American Medical Association (AMA)
Rizvi, Sayyid Aun R.& Arshad, Shaista. An empirical study of Islamic equity as a better alternative during crisis using multivariate GARCH DCC. Islamic Economic Studies. 2014. Vol. 22, no. 1, pp.159-184.
https://search.emarefa.net/detail/BIM-540290
Data Type
Journal Articles
Language
English
Notes
Includes appendix : p. 182-184
Record ID
BIM-540290