Islamic stock markets and potential diversification benefits

Boujelbene Abbes, Mouna and Trichilli, Yousra,(2015), Islamic stock markets and potential diversification benefits. , Borsa Istanbul Review, UNSPECIFIED

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The aim of this paper is to investigate whether the dynamic integration across a large set of developed and emerging Islamic stock markets allows potential diversification benefits in tranquil and turmoil periods. Using the multivariate cointegration test, we find the presence of long-run equilibrium relationship among Islamic stock markets of similar economic grouping. While, Islamic stock markets from different economic grouping are partially segmented. Empirical results of estimated Vector Error Correction Model provide a lowest level of short run integration among the economic grouping of European-Asian emerging markets, MENA-Latin American and European-Latin American Islamic stock markets. In addition, the level of integration and causality relations among Islamic stock markets tends to change over time, mainly during periods characterized by financial crises. Overall, our results suggest that Shariah compliant stocks could offer potential diversification benefits by considering different economic grouping such as that in developed and emerging countries.
Keywords : Islamic finance; Stock market integration; Diversification benefits; VECM, UNSPECIFIED
Journal or Publication Title: Borsa Istanbul Review
Volume: 15
Number: 2
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Heru Prastyo
Date Deposited: 23 Dec 2019 06:01
Last Modified: 23 Dec 2019 06:01

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