On the Dynamic Links between Commodities and Islamic Equity
This paper investigates whether commodities offer potential diversification benefits for Islamic equity index investors in light of possible financialization of commodity markets. Using MGARCH-DCC and Wavelet Coherence analyses, our findings reveal that correlations between commodity markets and the Dow Jones Islamic Market World Index are time-varying and highly volatile throughout the January 1999–April 2015 period. A substantial and persistent increase was observed in the return correlations between commodities and Islamic equity at the onset of the 2008 financial crisis. However, trends in the recent two years suggest that this association is heading towards its pre-crisis levels, offering again diversification benefits for Islamic equity holders. These benefits vary across different commodities in various time scales. Overall, gold, natural gas, soft commodities, grains and livestock are better portfolio diversifiers than oil and other metals. Relative to medium-to-long term investors, short-term investors (less than 32 days horizon) gained better diversification benefits in most commodities during bullish, bearish and market recovery periods. These findings have implications for investors who are heterogeneous in risk tolerance and time preference as well as for policymakers who are concerned with market stability
Year of publication: |
2016
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Authors: | Nagayev, Ruslan |
Other Persons: | Disli, Mustafa (contributor) ; Inghelbrecht, Koen (contributor) ; Ng, Adam (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Saved in:
freely available
Extent: | 1 Online-Ressource (43 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Energy Economics, Vol. 58, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 13, 2016 erstellt |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012981282
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