Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?

Mehmet Balcilar, Charl Jooste, Shawkat Hammoudeh (), Rangan Gupta and Vassilios Babalos
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Shawkat Hammoudeh: Lebow College of Business, Drexel University, Philadelphia, PA, USA

No 15-20, Working Papers from Eastern Mediterranean University, Department of Economics

Abstract: We compare nonlinear cointegration tests with the standard cointegration tests in studying the relationship of the Dow Jones Islamic finance index with three other conventional 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. Our findings rely on a battery of standard tests as well as on the Bierens and Martins (2010) test that investigates time-varying coefficient cointegration in a multivariate system. Islamic markets seem to offer little, if any, long-run diversification to international investors.

Keywords: Islamic and conventional finance; time-varying cointegration (search for similar items in EconPapers)
JEL-codes: C12 C5 G1 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2014
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http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-20.pdf First version, 2014 (application/pdf)

Related works:
Journal Article: Are there long-run diversification gains from the Dow Jones Islamic finance index? (2015)
Working Paper: Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index? (2014)
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