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
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2014.990613 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index? (2014)
Working Paper: Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index? (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:22:y:2015:i:12:p:945-950

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2014.990613

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().