Volatility Contagion and Portfolio Diversification among Sharīʿah and Conventional Indices: An Evidence by MGARCH Models

Q3 Economics, Econometrics and Finance

Journal of King Abdulaziz University, Islamic Economics Pub Date : 2020-01-01 DOI:10.4197/islec.33-1.3

Safika Praveen Sheikh, Shafkat Shafi Dar, Sajad Ahmad Rat Safika Praveen Sheikh, Shafkat Shafi Dar, Sajad Ah

引用次数: 2

Abstract

Risk mitigation is one of the main concerns for an investor, and has gotten renewed attention after the 2007-2008 financial crisis. This paper tries to examine the scope of Sharīʿah indices in offering an opportunity for portfolio diversification. The paper empirically analyzes the existence of volatility contagion among conventional and Sharīʿah indices and delves into the presence of portfolio diversification opportunities among them.

查看原文本刊更多论文

沙尔基指数与传统指数的波动传染与投资组合多元化:基于MGARCH模型的证据

降低风险是投资者最关心的问题之一，在2007-2008年金融危机之后，这一问题再次受到关注。本文试图检验沙尔基指数在为投资组合多样化提供机会方面的作用范围。本文实证分析了传统指数和沙尔基指数之间存在波动传染，并探讨了其中存在的投资组合分散机会。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of King Abdulaziz University, Islamic Economics Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.60

自引率

0.00%

发文量

期刊介绍： The aims and scope of the journal include: -To develop the emerging paradigm of Islamic economics on scientific lines through publishing original works in this field that pass its peer review process. -To promote dialogue and discussion on current issues in the fields of Islamic economics and finance among the international community of scholars. -To encourage empirical research on Islamic finance, takaful, zakah, awqaf and other Islamic institutions including case studies from Muslim economies. -Contemporary global economic issues viewed from an Islamic perspective. To publish book reviews of important works published in the field, including books in conventional economics, business and finance having some connection with Islamic economics and/or finance.