 Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidenceAhmad Abu-Alkheil, Walayet A. Khan, Bhavik Parikh and Sunil K. Mohanty The Quarterly Review of Economics and Finance, 2017, vol. 66, issue C, 212-224 Abstract: A major issue in both Islamic and conventional finance is the performance of their respective stock indices. Using the stochastic dominance (SD) analysis, we examine whether Islamic stock indices outperform the conventional indices over the period from 2002 to 2014. We also examine the behavior of both risk averters and risk seekers with regard to the preference for Islamic or conventional indices. Moreover, employing the VARMAX procedure and Johansen’s co-integration approach we analyze the long term association of indices (co-integration), efficiency of Islamic indices, the existence of diversification benefits and portfolio optimization opportunities. Our sample consists of 32 conventional and 32 Islamic stock indices from FTSE, DJ, MSCI, S&Ps and Jakarta series. To capture the impact of the subprime global financial crisis of 2007 on indices performance, we split the overall sample period into pre crisis (2002–2006), crisis (2007–2009), and post crisis (2010–2014) periods. Keywords: Islamic finance; Islamic indices; Co-integration; Stochastic dominance (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:66:y:2017:i:c:p:212-224 DOI: 10.1016/j.qref.2017.02.005 Access Statistics for this article The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty More articles in The Quarterly Review of Economics and Finance from Elsevier |
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