Hidden cointegration reveals hidden values in Islamic investments

Alexakis, Christos and Pappas, Vasileios and Tsikouras, Alexandros,(2017), Hidden cointegration reveals hidden values in Islamic investments. , J. Int. Financ. Markets Inst. Money, UNSPECIFIED

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We explore long-run relationships between Islamic and conventional equity indices for the period 2000–2014. We adopt a hidden co-integration technique to decompose the series into positive and negative components; thus allowing the investigation of the indices during upward and downward markets. We find evidence of bi-directional dynamics during upward, downward and some mixed market movements. However, after adding control variables to our models, only the relationship for the negative components retains its significance; indicating that the Islamic index is the least responsive during bad times. This highlights the robust nature of Islamic investments and a possible differentiated investor reaction to financial information during market downtrends. Implications for practitioners are highlighted in a case study.
Keywords : Islamic equity index; Hidden co-integration; Portfolio optimisation; Dow Jones, UNSPECIFIED
Journal or Publication Title: J. Int. Financ. Markets Inst. Money
Volume: 46
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Heru Prastyo
Date Deposited: 23 Dec 2019 04:10
Last Modified: 23 Dec 2019 04:10
URI: https://repofeb.undip.ac.id/id/eprint/658

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