Portfolio diversification between exchange rates and islamic stocks: evidence from the USA, Euro area, Japan and Malaysia

Mustafa Kabir and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: This paper uses the daily data from four counties to estimate the portfolio diversification opportunities between Islamic stock prices and exchange rates. Although there are many works on stocks and exchange rates in the field of conventional finance, there is relatively few work in the field of Islamic finance. This study makes an attempt to fill in this gap by applying recent and appropriate methodologies such as, MGARCH-DCC, MODWT and CWT. The results tend to indicate that the portfolio diversification opportunities between Islamic stocks and exchange rates are not conclusive but vary depending on the stock- holding periods in the short and long run. Hence the Islamic stock holders should take into account the investment horizons of their stocks while diversifying their stocks across with exchange rates.

Keywords: Islamic stocks; exchange rates; portfolio diversification; MGARCH-DCC; MODWT; CWT; Malaysia (search for similar items in EconPapers)
JEL-codes: C22 C58 G11 G15 (search for similar items in EconPapers)
Date: 2019-07-15
New Economics Papers: this item is included in nep-isf and nep-sea
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