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Risk-return profiles of Islamic equities and commodity portfolios in different market conditions

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dc.contributor.authorSarkar Humayun Kabir
dc.contributor.authorAbul Mansur Mohammed Masih
dc.contributor.authorObiyathulla Ismath Bacha
dc.date.accessioned2017-10-20T07:32:01Z
dc.date.available2017-10-20T07:32:01Z
dc.date.issued2017
dc.description.abstractMotivated by the recent phenomenal growth in Islamic finance and the financialization of commodities, this study makes an initial attempt to investigate the risk return profiles of optimized portfolios combining (a) Islamic equities with commodities and (b) conventional equities with commodities during the crises and noncrises periods. The findings tend to indicate that Islamic equity-commodity portfolios provide relatively higher diversification benefits than the conventional equity-commodity portfolios during the 1997 Asian Financial Crisis triggered by the financial sector compared to the 2008 global financial crisis triggered by the real housing sector. The findings further suggest that except for a few cases, commodities in general and gold in particular improve diversification benefits.en_US
dc.identifier.citationKabir, S. H., Mohammed Masih, A. M., & Bacha, O. I. (2017). Risk-return profiles of Islamic equities and commodity portfolios in different market conditions. Emerging Markets Review, 53(7), 1477-1500.en_US
dc.identifier.doidoi:10.1080/1540496X.2016.1216843
dc.identifier.issn1540-496X
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/2709
dc.languageEnglish
dc.language.isoengen_US
dc.publisherTaylor & Francisen_US
dc.rights2017. Taylor & Francis
dc.sourceSEDONA
dc.subjectDiversificationen_US
dc.subjectDynamic conditional correlationen_US
dc.subjectMarkowitz portfolio optimizationen_US
dc.subjectSharpe ratioen_US
dc.subjectUnconditional correlationen_US
dc.subjectVolatilityen_US
dc.titleRisk-return profiles of Islamic equities and commodity portfolios in different market conditionsen_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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