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The diversification benefits within Islamic investments: the case of Malaysia-based Islamic equity investors

Noordin, Nazrul Hazizi and Saiti, Buerhan (2018) The diversification benefits within Islamic investments: the case of Malaysia-based Islamic equity investors. Pertanika Journal of Social Sciences and Humanities, 26 (2). pp. 961-984. ISSN 0128-7702

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Abstract

This article aims to assist Malaysia-based Islamic equity investors in identifying possible diversification benefits by diversifying their portfolio in the Southeast Asian market and the top 10 world’s largest equity markets (China, Japan, Hong Kong, India, UK, US, Canada, France, Germany and Switzerland). The multivariate GARCH-dynamic conditional correlation is applied to estimate the time-varying linkages of the selected Asian and international Islamic stock index returns with the Malaysian Islamic stock index returns, covering approximately eight years daily starting from 29 June, 2007 to 30 June, 2016. At the regional level, the results indicate that Malaysia-based Islamic equity investors would benefit most if they include the Japanese Islamic stock indices in their portfolio. Meanwhile, at the international level, the results imply that the US Islamic stock indices provide the most diversification benefit for the Malaysia-based Islamic equity investors.

Item Type: Article (Journal)
Additional Information: 7451/54056
Uncontrolled Keywords: Equity markets, Islamic stock indices, MGARCH, Islamic Finance,portfolio diversification benefit
Subjects: H Social Sciences > HB Economic Theory > HB126.4 Islamic Economics
H Social Sciences > HF Commerce > HF5001 Business. Business Administration > HF5717 Business communication
H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Institute of Islamic Banking & Finance (IIiBF)
Depositing User: ASSOC PROF DR BUERHAN SAITI
Date Deposited: 30 Jul 2018 10:50
Last Modified: 17 Dec 2018 09:18
URI: http://irep.iium.edu.my/id/eprint/54056

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