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

Alaabed, Alaa and Chowdhury, Mohammad Ashraful Ferdous and Masih, Mansur,(2019), Size, correlations, and diversification: New evidence from an application of wavelet approach to the emerging Islamic mutual fund industry. , Borsa _Istanbul Review, UNSPECIFIED

[thumbnail of Size, Correlation Alaabed.pdf] Text
Restricted to Repository staff only

Download (1MB) | Request a copy

Abstract

Despite 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. Copyright © 2018, Borsa _Istanbul Anonim S¸ irketi. Production and hosting by Elsevier B.V. This is an open access article under the CC BY-NCND
Keywords : Islamic mutual funds; Volatility; Size; Assets under management; Wavelet analysis; Wavelet coherence; Diversification, UNSPECIFIED
Journal or Publication Title: Borsa _Istanbul Review
Volume: 19
Number: UNSPECIFIED
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Nila Nurjanah
Date Deposited: 16 Dec 2019 07:00
Last Modified: 16 Dec 2019 07:00
URI: https://repofeb.undip.ac.id/id/eprint/209

Actions (login required)

View Item
View Item