Majdoub, Jihed and Mansour, Walid and Jouini, Jamel,(2016), Market integrationbetweenconventionaland Islamic stockprices. , North American Journal of Economics and Finance, UNSPECIFIED
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Abstract
The paperassessesthemarketintegrationbetweenconventional
and Islamicstockpricesfromthelong-andshort-runperspec-
tives forFrance,Indonesia,theUKandtheUSfromSeptember8,
2008 toSeptember6,2013usingvariouseconometricapproaches.
The resultsshowlong-runrelationshipsforallcountries,except
for theUKwherethereisnocointegrationbetweenconventional
and Islamicstockprices.ThesefindingssuggestthattheIslamic
finance industryintheconsideredeconomies(excepttheUK)does
not seemtobecomplianttoIslamiclaw’smaxims,whichhinders
portfolio managersandmarketparticipantstobenefitfromthe
opportunities ofinternationaldiversificationandhedgingeffec-
tiveness. Fromthecorrelationperspective,thereisevidenceof
weak linkagesbetweentheIndonesianmarketandthedevel-
oped marketsforbothconventionalandIslamicstockprices,thus
suggesting thatinvestorscandiversifytheirportfoliosattheinter-
national leveltominimizerisk.However,thereishighconnection
between thedevelopedmarketsforbothconventionalandIslamic
indexes. Inaddition,foreacheconomy,theIslamicindexisfound
to bestronglylinkedwithitsconventionalcounterpart.Thestruc-
tural changeanalysisrevealscommonbreakdatesforseveralcross
correlations, thusreflectingthesimilartime-pathsoftheinterac-
tions betweenmarkets.Thepresenceofbreaksintheinter-market
| Keywords : | Cointegration Time-varying correlation Structural breaks Portfolio diversification Conventional andIslamicindexes, UNSPECIFIED |
|---|---|
| Journal or Publication Title: | North American Journal of Economics and Finance |
| Volume: | 37 |
| Number: | UNSPECIFIED |
| Item Type: | Article |
| Subjects: | Ekonomi Islam |
| Depositing User: | Nila Nurjanah |
| Date Deposited: | 27 Dec 2019 01:52 |
| Last Modified: | 27 Dec 2019 01:52 |
| URI: | https://repofeb.undip.ac.id/id/eprint/965 |
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