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Unveiling the diversification benefits of Islamic equities and commodities: evidence from multivariate-GARCH and continuous wavelet analysis

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dc.contributor.authorMuhammad Rizky Prima Sakti
dc.contributor.authorAbul Mansur Mohammed Masih
dc.contributor.authorBuerhan Saiti
dc.contributor.authorMohammad Ali Tareq
dc.date.accessioned2018-10-11T01:52:15Z
dc.date.available2018-10-11T01:52:15Z
dc.date.issued2018
dc.description.abstractThe purpose of this paper is to examine the extent to which the Indonesian Shariah compliant investors can benefit from the portfolio diversification with the Islamic indices of its trading partners and selected commodities such as gold, crude oil, and cocoa. The findings tend to indicate that investors with exposure in Shariah compliant indices of Indonesia and wanting to gain more diversification benefits should invest either in the USA or India Islamic equity. Instead, the greater benefits will be obtained by Shariah compliant investors if they invest in the USA Islamic indices during long-term investment horizons. If investors want to invest in medium investment horizons, investing in India Islamic equity is a viable option. The findings further suggest that gold has a role of diversification benefits as a "safe haven" instrument for investors. It is advisable for the investors that have exposure in commodities (gold, crude oil, and cocoa) and want to invest in Indonesian Islamic equity, they should hold the portfolio for not more than 16 days to gain diversification benefits.en_US
dc.identifier.citationSakti, M. R. P., Mohammed Masih, A. M., Saiti, B., & Tareq, M. A. (2018). Unveiling the diversification benefits of Islamic equities and commodities: evidence from multivariate-GARCH and continuous wavelet analysis. Managerial Finance, 44(6), 830-850. https://doi.org/10.1108/MF-08-2017-0278en_US
dc.identifier.doihttps://doi.org/10.1108/MF-08-2017-0278
dc.identifier.issn0307-4358
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/2968
dc.languageEnglish
dc.language.isoengen_US
dc.publisherEmerald Publishing Limiteden_US
dc.rights2018. Emerald Publishing Limited
dc.sourceSEDONA
dc.subjectWavelet coherenceen_US
dc.subjectDiversification benefitsen_US
dc.subjectIslamic equitiesen_US
dc.subjectMultivariate-GARCHen_US
dc.subjectIslamic financeen_US
dc.titleUnveiling the diversification benefits of Islamic equities and commodities: evidence from multivariate-GARCH and continuous wavelet analysisen_US
dc.typeJournal Articleen_US
dlc.maintopicIslamic capital markets
dlc.subtopicIslamic equity market
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital marketsen_US
ikr.topic.subtopicIslamic capital marketsen_US
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