Are there long-run diversification gains from the Dow Jones Islamic finance index?

被引：9

作者：

Balcilar, Mehmet ^{[1
,2
]}

Jooste, Charl ^{[2
]}

Hammoudeh, Shawkat ^{[3
]}

Gupta, Rangan ^{[2
]}

Babalos, Vassilios ^{[4
]}

机构：

[1] Eastern Mediterranean Univ, Dept Econ, Famagusta, Turkey

[2] Univ Pretoria, Dept Econ, ZA-0002 Pretoria, South Africa

[3] Drexel Univ, Lebow Coll Business, Philadelphia, PA 19104 USA

[4] Technol Educ Inst Peloponnese, Dept Accounting & Finance, Kalamata 24100, Greece

来源：

APPLIED ECONOMICS LETTERS | 2015年 / 22卷 / 12期

关键词：

C5; C12; G1; Islamic and conventional finance; time-varying cointegration; STOCK MARKETS; COINTEGRATION;

D O I：

10.1080/13504851.2014.990613

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We compare a nonlinear (time-varying) cointegration test with the standard cointegration test in studying the long-run relationship of the Dow Jones Islamic finance index with three other conventional global equity market indices. Our results show that there is a long-run nonlinear cointegrating relationship between the Dow Jones Islamic stock market index and other conventional stock market indices, which is not picked up by the linear cointegration test. Thus, Islamic markets seem to offer little, if any, long-run diversification to international investors.

引用

页码：945 / 950

页数：6

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