Publication:
Do Islamic stock returns hedge against inflation? A wavelet approach
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Norazza M. Haniff | |
| dc.contributor.author | Abul Mansur Mohammed Masih | |
| dc.date.accessioned | 2018-07-19T06:10:03Z | |
| dc.date.available | 2018-07-19T06:10:03Z | |
| dc.date.issued | 2018 | |
| dc.description.abstract | This article makes an initial attempt to study the hedging effectiveness of Islamic stock returns against inflation for different investment horizons. We applied the wavelet analysis to measure the cross-correlations between the time series as a function of time-scales using data ranging from 2007 to early 2015. The main results tend to indicate the following: First, that for investment horizons not exceeding 3 years, the FTSE Bursa Malaysia Emas Shariah Index constituent returns may potentially hedge against inflation. Additionally, the hedging ability of stock returns was absent from 2008 to 2009 following the global financial crisis. Finally, a buy-and-hold strategy exceeding 3 years may erode investments. The results are plausible and have strong policy implications. | en_US |
| dc.identifier.citation | M. Haniff, N., & Mohammed Masih, A. M. (2018). Do Islamic stock returns hedge against inflation? A wavelet approach. Emerging Markets Finance and Trade, 54(10), 2348–2366. https://doi.org/10.1080/1540496X.2017.1363035 | en_US |
| dc.identifier.doi | https://doi.org/10.1080/1540496X.2017.1363035 | |
| dc.identifier.issn | 1558-0938 (online) | |
| dc.identifier.uri | https://ikr.inceif.edu.my/handle/INCEIF/2931 | |
| dc.language | English | |
| dc.language.iso | eng | en_US |
| dc.publisher | Taylor & Francis | en_US |
| dc.rights | 2018. Taylor & Francis | |
| dc.source | SEDONA | |
| dc.subject | Fisher hypothesis | en_US |
| dc.subject | Inflation | en_US |
| dc.subject | Proxy hypothesis | en_US |
| dc.subject | Stock returns | en_US |
| dc.subject | Wavelets | en_US |
| dc.title | Do Islamic stock returns hedge against inflation? A wavelet approach | en_US |
| dc.type | Journal Article | en_US |
| dlc.maintopic | Islamic capital markets | en_US |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Islamic capital markets | en_US |
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