Journal article
Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes
Applied economics, v 49(25), pp 2456-2479
28 May 2017
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study analyses the dynamic spillovers across 10 Dow Jones Islamic and conventional sector index pairs. Using various multivariate GARCH models, the results show significant time-varying conditional correlations for all the pairs. Moreover, there is evidence that the conditional correlations for all the sector pairs, except those of the Telecommunication and Utilities sectors, increase after the onset of the global financial crisis (GFC), suggesting non-subsiding risks, contagion effects and gradual greater financial linkages. The Islamic sectors' risk exposure can be effectively hedged over time in diversified portfolios containing conventional sector stocks. These results provide several practical implications for portfolio managers and policymakers in regard to optimal asset allocations, portfolio risk management and the diversification benefits among these markets.
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Details
- Title
- Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes
- Creators
- Walid Mensi - Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia; Department of Finance and Investment, College of Economics and Administrative Sciences, Al Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh, Saudi ArabiaShawkat Hammoudeh - Montpellier Business SchoolAhmet Sensoy - Borsa IstanbulSeong-Min Yoon - Pusan National University
- Publication Details
- Applied economics, v 49(25), pp 2456-2479
- Publisher
- Routledge
- Grant note
- NRF-2013S1A3A2042747 / National Research Foundation of Korea (10.13039/501100003725)
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000396817100005
- Scopus ID
- 2-s2.0-84990886727
- Other Identifier
- 991019167819604721
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- Collaboration types
- Industry collaboration
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics