Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis

Abdelbari El Khamlichi, Thi Hong Van Hoang () and Wing-Keung Wong
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Thi Hong Van Hoang: MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier

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Abstract: This article investigates the impact of gold in portfolios in distinguishing between Islamic and conventional stocks as well as between risk-averse and risk-seeking investors, while considering sectorial specificities. Using daily data from the Dow Jones indexes and the London gold market over the 2002-2014 period, the results obtained show that the stochastic dominance method is more robust than the mean-risk method to detect the difference between Islamic and conventional portfolios. For most sectors, risk-averters prefer conventional portfolios, while risk-seekers prefer Islamic portfolios. On the other hand, risk-averters prefer portfolios with gold, while risk-seekers prefer portfolios without gold. A robustness check on different sub-periods shows that these results are time-varying following the behavior of gold prices. These findings can provide useful information to investors respecting Sharia and looking for a diversification with commodities such as gold.

Date: 2016-06-13
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Published in Infiniti Conference on International Finance, Jun 2016, Dublin, Ireland

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Related works:
Working Paper: Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis (2017)
Working Paper: Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis (2016)
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