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Cross-country evidence of Islamic portfolio diversification: are there opportunities in Saudi Arabia?

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dc.contributor.authorMd Hakim Ali
dc.contributor.authorMd Akther Uddin
dc.contributor.authorMohammad Ashraful Ferdous Chowdhury
dc.contributor.authorAbul Mansur Mohammed Masih
dc.date.accessioned2019-07-02T08:40:42Z
dc.date.available2019-07-02T08:40:42Z
dc.date.issued2018
dc.description.abstractOn the backdrop of growing importance of Shariah compliant equity markets, the purpose of this paper is to study cross-country portfolio diversification benefits for investors with major trading partners of Saudi Arabia, namely, USA, China, Japan, Germany and India, who have already invested or tend to invest in Saudi Arabian stock market. The authors have investigated time invariant, dynamic correlations at different investments horizons of the investors among Islamic asset classes by applying relevant econometric techniques like multivariate generalized autoregressive conditional heteroscedastic - DCC and continuous wavelet transforms. For robustness, this study also applied maximal overlap discrete wavelet transform. The findings tend to indicate that the Saudi Arabian investors have portfolio diversification benefits with all major trading partners in the short-term investment horizon. Interestingly, Saudi Arabian market has the least portfolio diversification benefits with the Chinese market. However, in the long run, all markets are correlated, yielding minimum portfolio diversification benefits and most importantly Saudi Arabian investors have portfolio diversification benefits with the Indian Islamic equity market in almost all investment horizons. The findings are highly consistent across different econometric technique estimations.en_US
dc.identifier.citationAli, M. H., Uddin, M. A., & Chowdhury, M. A. F., & Mohammed Masih, A. M. (2019). Cross-country evidence of Islamic portfolio diversification: are there opportunities in Saudi Arabia? Managerial Finance, 45(1), 36-53. https://doi.org/10.1108/MF-03-2018-0126en_US
dc.identifier.doihttps://doi.org/10.1108/MF-03-2018-0126
dc.identifier.issn0307-4358
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/3075
dc.languageEnglish
dc.language.isoengen_US
dc.publisherEmerald Publishing Limiteden_US
dc.rights2018. Emerald Publishing Limited
dc.sourceSEDONA
dc.subjectSaudi Arabiaen_US
dc.subjectEmerging marketsen_US
dc.subjectMGARCH-DCCen_US
dc.subjectWaveleten_US
dc.subjectInternational portfolio diversificationen_US
dc.titleCross-country evidence of Islamic portfolio diversification: are there opportunities in Saudi Arabia?en_US
dc.typeJournal Articleen_US
dlc.maintopicIslamic capital marketsen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital marketsen_US
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