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Journal article
Are there long-run diversification gains from the Dow Jones Islamic finance index?
Applied economics letters, v 22(12), pp 945-950
13 Aug 2015
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Abstract
We compare a nonlinear (time-varying) cointegration test with the standard cointegration test in studying the long-run relationship of the Dow Jones Islamic finance index with three other conventional global 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, which is not picked up by the linear cointegration test. Thus, Islamic markets seem to offer little, if any, long-run diversification to international investors.
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Details
- Title
- Are there long-run diversification gains from the Dow Jones Islamic finance index?
- Creators
- Mehmet Balcilar - Eastern Mediterranean UniversityCharl Jooste - University of PretoriaShawkat Hammoudeh - Drexel UniversityRangan Gupta - University of PretoriaVassilios Babalos - Technological Educational Institute of Peloponnese
- Publication Details
- Applied economics letters, v 22(12), pp 945-950
- Publisher
- Routledge
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000354112100004
- Scopus ID
- 2-s2.0-84929712179
- Other Identifier
- 991019167914504721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics