Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis
Abdelbari El Khamlichi (),
Thi Hong Van Hoang () and
Wing-Keung Wong ()
MPRA Paper from University Library of Munich, Germany
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.
Keywords: Islamic vs. Conventional stocks; Risk-averse vs. Risk-seeking investors; Gold; Portfolio diversification; Mean-risk; Stochastic dominance. (search for similar items in EconPapers)
JEL-codes: C58 G11 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:76282
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