Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?

Mehmet Balcilar, Charl Jooste, Shawkat Hammoudeh, Rangan Gupta and Vassilios Babalos

No 201433, Working Papers from University of Pretoria, Department of Economics

Abstract: We compare nonlinear cointegration tests with the standard cointegration tests in studying the relationship of the Dow Jones Islamic finance index with three other conventional equity market indices. Our results show that there is a long-run nonlinear cointegrating relationship between the Dow Jones Islamic stock market index and other conventional stock market indices. Our findings rely on a battery of standard tests as well as on the Bierens and Martins (2010) test that investigates time-varying coefficient cointegration in a multivariate system. Islamic markets seem to offer little, if any, long-run diversification to international investors.

Keywords: Islamic and conventional finance; time-varying cointegration (search for similar items in EconPapers)
JEL-codes: C12 C5 G1 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2014-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Are there long-run diversification gains from the Dow Jones Islamic finance index? (2015)
Working Paper: Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index? (2014)
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:pre:wpaper:201433

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().