Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity

Faizal Farouk and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the co-movement of nine Islamic Exchange Traded Fund (ETF) returns using wavelet coherence methods. The results tend to indicate consistent co-movement between most of the ETF returns especially in the long run. The study also uncovers evidence of wide variation of co-movement across the time-scales during the global financial crisis and the Euro debt crisis. Strong co-movement can be observed during the global financial crisis, both for the medium term investors and long term investors. The paper also studies the relationship between different ETF returns using wavelet multi-resolution analysis. The cross-correlation analysis also shows certain significant and positive correlations between the ETF returns, especially during the period of global financial crisis. The findings from these two recent dynamic time-scale decomposition methodologies have important policy implications for risk management and investors’ investment policy.

Keywords: Islamic exchange traded fund returns; Wavelet coherence; MODWT (search for similar items in EconPapers)
JEL-codes: C22 C58 G12 G15 (search for similar items in EconPapers)
Date: 2014-08-27
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/58869/1/MPRA_paper_58869.pdf original version (application/pdf)

Related works:
Journal Article: Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity (2016)
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:pra:mprapa:58869

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().