The purpose of this paper is to analyze the possible portfolio diversification opportunities between Asian Islamic market and other regions’ Islamic markets; namely USA, Europe and BRIC. This study makes the initial attempt to fill in the gaps of previous studies by focusing on the proxies of...

We use a dynamic model averaging (DMA) approach to construct forecasts of individual equity returns for a large cross-section of stocks contained in the SP500, FTSE100, DAX30, CAC40 and SPX30 headline indices, taking value, momentum, and quality factors as predictor variables. Fixing the set of...

Bu çalışmanın ana amacı halihazırda çeşitli kurumlar tarafından uygulanan farklı metodolojilere dayanılarak elde edilmiş “fıkhi uygunluk kriterleri”ne yönelik eleştirilere dönük önerilerde bulunmaktır. Ayrıca, bu çalışma, İslamın birincil kaynaklarından (Kuran ve...

This paper examines the behaviour of high and low prices of four commodities, namely crude oil, natural gas, gold and silver, and of the corresponding ranges using both daily and intraday data at various frequencies. For this purpose, it applies fractional integration and cointegration...

International diversification of equity is important for investors who want to reduce risk of capital loss. However, international diversification benefit is inconclusive. This research is the initial attempt to find international diversification benefit of global Islamic equity (in the World,...

The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors...

Motivated by the lack of investigation on the behavioral interpretation on the momentum premium, this paper addresses this issue by focusing on the effect of investor sentiment on a sample of the comprehensive Chinese A-share index covering the period from 2006 to 2015. Expect for uncovering the...

Recent literature attract the attention to the issue of whether heterogeneity in stock holding periods has an impact on resulting investor exposures. In this research, we aim to study co-movement dynamics of Islamic equity returns to explain international portfolio diversification opportunities...

The task of this paper is the enhancement of realized volatility forecasts. We investigate whether a mixture of predictions (either the combination or the averaging of forecasts) can provide more accurate volatility forecasts than the forecasts of a single model.We estimate long-memory and...

Two volatility forecasting evaluation measures are considered; the squared one-day-ahead forecast error and its standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility forecasting accuracy. Additionally, we explore the...