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Does heterogeneity in investment horizons affect portfolio diversification? Some insights using M-GARCH-DCC and wavelet correlation analysis

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dc.contributor.authorSyed Faiq Najeeb
dc.contributor.authorAbul Mansur Mohammed Masih
dc.contributor.authorObiyathulla Ismath Bacha
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T18:56:53Z
dc.date.available2016-06-06
dc.date.available2016-07-25T18:56:53Z
dc.date.disclosure2016-06-10
dc.date.issued2015
dc.description.abstractRecent literature draws attention to the issue of whether heterogeneity in investment horizons has an effect on resulting investor exposures. In this article, using Malaysia as a case study, we make the first attempt to examine comovement dynamics of Islamic equity returns to identify international portfolio diversification opportunities for investors having heterogeneous investment horizons. We use three recent and appropriate methodologies: M-GARCH-DCC, Continuous Wavelet Transforms (CWT), and Maximum Overlap Discrete Wavelet Transform (MODWT). The results significantly tend to indicate that effective portfolio diversification opportunities between our sample markets exist mainly for short holding periods while for longer investment horizons, where investor stockholding periods exceed one year, the markets appear to be mostly highly correlated yielding minimal portfolio diversification benefits. Overall, the results critically highlight the significance of heterogeneity in investment horizons and bear important implications for portfolio diversification strategies
dc.identifier.citationNajeeb, S. F., Bacha, O. I., & Mohammed Masih, A. M. (2015). Does heterogeneity in investment horizons affect portfolio diversification? Some insights using M-GARCH-DCC and wavelet correlation analysis. Emerging Markets Finance and Trade, 51(1), 188-208.
dc.identifier.doihttps://doi.org/10.1080/1540496X.2015.1011531
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/1289
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge
dc.rights2015. Routledge
dc.sourceCRP
dc.subjectCWT
dc.subjectInternational portfolio diversification
dc.subjectM-GARCH-DCC
dc.subjectMODWT wavelet analysis
dc.titleDoes heterogeneity in investment horizons affect portfolio diversification? Some insights using M-GARCH-DCC and wavelet correlation analysis
dc.typeJournal Article
dlc.maintopicConventional finance
dlc.subtopicEconomics
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional finance
ikr.topic.subtopicConventional finance
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