Size and Volatility: new evidence from an application of wavelet approach to the emerging Islamic mutual funds’ industry

Alaa Alaabed and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: As far as the author’s knowledge, the paper is the first attempt dedicated to understanding the risk and volatility of constituents of the young and rapidly growing Islamic mutual funds’ industry. The novelty of our approach lies in the usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between returns of funds of different sizes in a completely different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two fundamental approaches, so we can work in time-frequency domain. Using wavelet coherence, we have gained valuable insights into the volatility and continuous dynamics of cross-correlations between small, medium and large size Islamic mutual funds.

Keywords: Islamic Mutual Funds; Volatility; Size; Assets Under Management; Wavelet Analysis; Wavelet Coherence; Diversification. (search for similar items in EconPapers)
JEL-codes: C22 C58 G2 (search for similar items in EconPapers)
Date: 2014-06-15
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/62991/1/MPRA_paper_62991.pdf original version (application/pdf)

Related works:
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:62991

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 ().