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Size, correlations, and diversification: new evidence from an application of wavelet approach to the emerging Islamic mutual fund industry

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dc.contributor.authorAlaa Alaabed
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.abstractDespite the rapid growth of Islamic finance in recent years, there has been relatively little work done on the emerging Islamic mutual fund industry within the broad field of Islamic finance. As far as the authors' knowledge, this paper is the first attempt dedicated to understanding the correlation between different sizes of the young and rapidly growing Islamic mutual fund industry at different investment horizons. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two fundamental approaches, so we can work in the time-frequency domain. Using wavelet coherence, we have gained valuable insights into the continuous dynamics of correlation between small, medium and large size Islamic mutual funds at different investment horizons for reaping the benefits of portfolio diversification in particular and keeping contagion risk at bay.en_US
dc.identifier.citationAlaabed, A., Chowdhury, M. A. F., & Mohammed Masih, A. M. (2018). Size, correlations, and diversification: new evidence from an application of wavelet approach to the emerging Islamic mutual fund industry. Borsa Instabul Review, 19(Suppl. 1), S14-S20.en_US
dc.identifier.doihttps://doi.org/10.1016/j.bir.2018.08.001
dc.identifier.issn2214-8450
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/3073
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevier B.V.en_US
dc.rights2018. Elsevier B.V.
dc.sourceSEDONA
dc.subjectIslamic mutual fundsen_US
dc.subjectVolatilityen_US
dc.subjectSizeen_US
dc.subjectAssets under managementen_US
dc.subjectWavelet analysisen_US
dc.subjectWavelet coherenceen_US
dc.subjectDiversificationen_US
dc.titleSize, correlations, and diversification: new evidence from an application of wavelet approach to the emerging Islamic mutual fund industryen_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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