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
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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.
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Keywords : | Islamic mutual funds; Volatility; Size; Assets under management; Wavelet analysis; Wavelet coherence; Diversification, UNSPECIFIED |
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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 |