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Are there long-run diversification gains from the Dow Jones Islamic finance index?

Mehmet Balcilar, Charl Jooste, Shawkat Hammoudeh, Rangan Gupta and Vassilios Babalos

Applied Economics Letters, 2015, vol. 22, issue 12, 945-950

Abstract: We compare a nonlinear (time-varying) cointegration test with the standard cointegration test in studying the long-run relationship of the Dow Jones Islamic finance index with three other conventional global equity market indices. Our results show that there is a long-run nonlinear cointegrating relationship between the Dow Jones Islamic stock market index and other conventional stock market indices, which is not picked up by the linear cointegration test. Thus, Islamic markets seem to offer little, if any, long-run diversification to international investors.

Date: 2015
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Working Paper: Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index? (2014) Downloads
Working Paper: Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index? (2014)
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DOI: 10.1080/13504851.2014.990613

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