Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidence
Walayet A. Khan,
Bhavik Parikh and
Sunil K. Mohanty
The Quarterly Review of Economics and Finance, 2017, vol. 66, issue C, 212-224
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)
JEL-codes: C14 Z12 G17 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:66:y:2017:i:c:p:212-224
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
Bibliographic data for series maintained by Dana Niculescu ().