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Keywords = Islamic stock indices

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23 pages, 2234 KiB  
Article
Exploring the Dynamic Link Between Crude Oil and Islamic Stock Returns: A BRIC Perspective During the GFC
by Tanvir Bhuiyan and Ariful Hoque
J. Risk Financial Manag. 2025, 18(7), 402; https://doi.org/10.3390/jrfm18070402 - 20 Jul 2025
Viewed by 806
Abstract
This study examines the relationship between crude oil returns (CRT) and Islamic stock returns (ISR) in BRIC countries during the Global Financial Crisis (GFC), employing wavelet-based comovement analysis and regression models that incorporate both contemporaneous and lagged CRT across 40 cases. The wavelet [...] Read more.
This study examines the relationship between crude oil returns (CRT) and Islamic stock returns (ISR) in BRIC countries during the Global Financial Crisis (GFC), employing wavelet-based comovement analysis and regression models that incorporate both contemporaneous and lagged CRT across 40 cases. The wavelet analysis reveals strong long-term comovement at low frequencies between ISR and CRT during the GFC. Contemporaneous regressions show that increases (decreases) in CRT align with corresponding movements in ISR. Lagged regressions indicate that CRT can predict ISR up to one week ahead for Brazil, Russia, and China, and up to two weeks for India, although the predictive strength weakens beyond this window. These findings challenge the perception that Islamic stocks were immune to the GFC, showing they were affected by global oil market dynamics, albeit with varying degrees of resilience across countries and time horizons. Full article
(This article belongs to the Special Issue The New Horizons of Global Financial Literacy)
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57 pages, 7152 KiB  
Article
Dynamic Shock-Transmission Mechanism Between U.S. Trade Policy Uncertainty and Sharia-Compliant Stock Market Volatility of GCC Economies
by Mosab I. Tabash, Suzan Sameer Issa, Marwan Mansour, Mohammed W. A. Saleh, Maha Rahrouh, Kholoud AlQeisi and Mujeeb Saif Mohsen Al-Absy
Risks 2025, 13(3), 56; https://doi.org/10.3390/risks13030056 - 18 Mar 2025
Cited by 2 | Viewed by 1013
Abstract
This study endeavors to explore the shock-transmission mechanism between Trade Policy Uncertainty (TPU) and the volatility inherent in the Gulf Cooperation Council (GCC) Islamic stock markets by employing the novel Quantile Vector Auto Regression (QVAR) with “Extended Joint” and “Frequency” domain connectedness technique. [...] Read more.
This study endeavors to explore the shock-transmission mechanism between Trade Policy Uncertainty (TPU) and the volatility inherent in the Gulf Cooperation Council (GCC) Islamic stock markets by employing the novel Quantile Vector Auto Regression (QVAR) with “Extended Joint” and “Frequency” domain connectedness technique. Overall findings indicated a U-shaped pattern in the shock-transmission mechanism with the higher TPU shocks transmitted towards Islamic stock market volatility at the extreme quantiles and in the long term. The “Extended Joint” QVAR connectedness approach highlights that, in bearish and moderate-volatility conditions (τ = 0.05, 0.50), diversifying portfolios across less shock-prone equity markets like Qatar and UAE can mitigate risk exposure to TPU shocks. Specific economies receiving higher TPU shocks, like Bahrain, Kuwait, and Saudi Arabia, should implement strategic frameworks, including trade credit insurance and currency hedging, for risk reduction in trade policy shocks during the bearish and moderate-volatility conditions. Conversely, Qatar and Kuwait show the least transmission of error variance from TPU during higher-volatility conditions (τ = 0.95). Moreover, the application of the Frequency-domain QVAR technique underscores the need for short-term speculators to exercise increased vigilance during bearish and bullish volatile periods, as TPU shocks can exert a more substantial influence on the Islamic equity market volatility of Bahrain, Oman, Kuwait, and Saudi Arabia. Long-term investors may need to tailor their asset-allocation strategies by increasing allocations to more stable assets that are less susceptible to TPU shocks, such as Qatar, during bearish (τ = 0.05), moderate (τ = 0.50), and bullish (τ = 0.95) volatility. Full article
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17 pages, 494 KiB  
Article
Tax Avoidance with Maqasid Syariah: Empirical Insights on Derivatives, Debt Shifting, Transfer Pricing, and Financial Distress
by Vidiyanna Rizal Putri, Mohd Hadli Shah Mohamad Yunus, Nor Balkish Zakaria, Meliza Putriyanti Zifi, Istianingsih Sastrodiharjo and Rosiyana Dewi
J. Risk Financial Manag. 2024, 17(11), 519; https://doi.org/10.3390/jrfm17110519 - 18 Nov 2024
Viewed by 1996
Abstract
This study analyzes and investigates how financial factors, namely, derivatives, debt shifting, and transfer pricing, influence tax avoidance, with financial distress as an interaction variable, within the framework of stakeholder theory and positive accounting theory. Adding more uniqueness, this study injected the Maqasid [...] Read more.
This study analyzes and investigates how financial factors, namely, derivatives, debt shifting, and transfer pricing, influence tax avoidance, with financial distress as an interaction variable, within the framework of stakeholder theory and positive accounting theory. Adding more uniqueness, this study injected the Maqasid Syariah elements into the framework. Conventional banks and non-bank institutions listed on the Indonesia Stock Exchange (IDX) between 2017 and 2022 were selected, comprising 414 final company-year observations. The study utilized E-Views software for data processing. The findings indicate that debt shifting negatively impacts tax avoidance, while derivatives have no significant influence. Transfer pricing positively impacts tax avoidance. Financial distress does not moderate the relationship between these financial practices and tax avoidance. From an Islamic perspective, practices such as transfer pricing and debt shifting, when used to avoid tax, contradict the principles of Maqasid Syariah, which emphasize fairness, wealth distribution, and societal welfare. Full article
(This article belongs to the Special Issue Bridging Financial Integrity and Sustainability)
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21 pages, 727 KiB  
Article
The Impact of the Cryptocurrency Market on Islamic vs. Conventional Stock Returns: Evidence from Gulf Cooperation Council Countries
by Naji Mansour Nomran, Abdelkader Laallam, Razali Haron, Aghilasse Kashi, Zakir Hossen Shaikh and Joji Abey
J. Risk Financial Manag. 2024, 17(7), 305; https://doi.org/10.3390/jrfm17070305 - 17 Jul 2024
Cited by 4 | Viewed by 4682
Abstract
The rapid rise and widespread global adoption of cryptocurrencies in recent years has fundamentally transformed the international financial landscape, with digital assets increasingly being recognized for their potential to influence the stability and performance of traditional capital markets. Against this backdrop, this study [...] Read more.
The rapid rise and widespread global adoption of cryptocurrencies in recent years has fundamentally transformed the international financial landscape, with digital assets increasingly being recognized for their potential to influence the stability and performance of traditional capital markets. Against this backdrop, this study aims to empirically investigate the impact of cryptocurrency returns on Islamic vs. conventional stock returns in Gulf Cooperation Council (GCC) countries. The salient distinctions between Islamic and conventional stock markets include fundamental differences in principles, investment allocations, and risk profiles, underscoring the importance of examining the impact of cryptocurrency returns on these distinct equity segments. Daily data were collected from stock indices in five GCC countries over the period 2016–2019, including two sub-periods: before and after the 2017 crypto crash. Pooled OLS, fixed effects, random effects, and generalized linear models (GLMs) were used to analyze the data collected during the study. With the GCC increasingly focusing on cryptocurrency markets, there is growing concern about these markets’ potential impact on regional stocks. This study addresses the important questions of whether the impacts of the cryptocurrency market on Islamic vs. conventional stock markets differ throughout the GCC region and how these impacts have evolved since the crypto crash period. The findings reveal that cryptocurrency returns had a negative impact on both GCC Islamic and conventional stock market returns for the full sample period (2016–2019), and the negative effect was far more pronounced for conventional stocks. For the two sub-periods before and after the crash, only the cryptocurrency market and conventional GCC stocks remained negatively correlated, while the cryptocurrency market and the GCC Islamic stock markets became uncorrelated. Thus, for the calmer sub-periods before and after the crypto crash, the rise in cryptocurrency returns may have enticed GCC investors away from conventional stocks, perhaps resulting in a decline in their investment in these stocks. Meanwhile, those who invest in Islamic stocks may not be exposed to this temptation. Full article
(This article belongs to the Section Financial Markets)
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33 pages, 27625 KiB  
Article
Assessing the Resilience of Islamic Stocks in BRIC Countries: Analyzing Coherence and Cointegration with S&P 500 Options Implied Volatility Smirk during the Global Financial Crisis
by Ariful Hoque, Tanvir Bhuiyan and Thi Le
Int. J. Financial Stud. 2024, 12(3), 67; https://doi.org/10.3390/ijfs12030067 - 10 Jul 2024
Cited by 1 | Viewed by 1479
Abstract
Challenging the perceived immunity of Islamic stocks to the global financial crisis, this research investigates whether there was any coherence and long-run cointegration between Islamic stocks of BRIC countries and S&P 500 options implied volatility smirk (IVS) in BRIC countries during the global [...] Read more.
Challenging the perceived immunity of Islamic stocks to the global financial crisis, this research investigates whether there was any coherence and long-run cointegration between Islamic stocks of BRIC countries and S&P 500 options implied volatility smirk (IVS) in BRIC countries during the global financial crisis (GFC). Employing Engle–Granger and Johansen’s cointegration tests along with wavelet coherence analysis, this study reveals significant long-run cointegration and both short-term and long-term wavelet coherence between IVS and Islamic stock returns (ISRs). Since the S&P 500 options IVS is a reliable indicator of GFC in the context of the conventional stock market, the cointegration and coherence between ISRs and IVS indicate the susceptibility of ISRs to market contagion during the GFC. These findings challenge the notion of Islamic stocks as a safe haven during financial crises, showing their susceptibility to market downturns similar to conventional stocks. Full article
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37 pages, 25687 KiB  
Article
Co-Movement and Performance Comparison of Conventional and Islamic Stock Indices during the Pre- and Post-COVID-19 Pandemic Era
by Muhammad Alamgir and Ming-Chang Cheng
Risks 2023, 11(8), 146; https://doi.org/10.3390/risks11080146 - 9 Aug 2023
Cited by 4 | Viewed by 3187
Abstract
This study conducts a comparative analysis of the performance of Islamic and conventional indices in both developed and developing countries and territories, considering the pre- and post-COVID-19 pandemic periods. The research employs performance index tools and time–frequency wavelet-based analysis to assess how the [...] Read more.
This study conducts a comparative analysis of the performance of Islamic and conventional indices in both developed and developing countries and territories, considering the pre- and post-COVID-19 pandemic periods. The research employs performance index tools and time–frequency wavelet-based analysis to assess how the COVID-19 pandemic affected the performance, volatility, and co-movement of Islamic and conventional stock indices. The findings reveal that Islamic stock indices are more resilient and tend to outperform conventional stocks during crisis periods in both developed and developing countries and territories, and this trend holds true in the long and short term across most countries. The analysis of wavelet coherence indicates a strong co-movement and coherence between Islamic and conventional indices. Furthermore, the study reveals that in developing countries and territories, the co-movement is characterized by weak coherence and high volatility compared to developed countries and territories. The study highlights the significance of Islamic indices as safe havens for investors during times of crisis, suggesting that including Islamic equities in investment portfolios can potentially yield higher returns compared to conventional indices. This research holds practical value for individual traders involved in the online trading of global stock indices, aiding them in constructing and designing internationally diversified portfolios. Unlike previous studies that focused on specific countries and territories and indices, this study offers a comprehensive examination of the behavior of Islamic and conventional indices across major global markets during both crisis and noncrisis periods. The results contribute significantly to the existing literature and offer valuable insights for investors. Full article
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10 pages, 258 KiB  
Article
Holiday Effect and Stock Returns: Evidence from Stock Exchanges of Gulf Cooperation Council
by Prakash Pinto, Shakila Bolar, Iqbal Thonse Hawaldar, Aleyamma George and Abdelrhman Meero
Int. J. Financial Stud. 2022, 10(4), 103; https://doi.org/10.3390/ijfs10040103 - 8 Nov 2022
Cited by 3 | Viewed by 3051
Abstract
One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects in the stock exchanges [...] Read more.
One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects in the stock exchanges of the Gulf Co-operation Council, namely, Kuwait, Bahrain, Qatar, Oman, Saudi Arabia, and the United Arab Emirates for the period between January 2009 and December 2020. The national holidays that are considered for the study are New Year’s Day, Mawlid al-Nabi (Prophet birthday), Eid-Al-Isra Wal Miraj, Eid-Al-Fitr, National Day, Hegire Day (Islamic New Year), and Christmas Day. The study employs descriptive statistics and the non-parametric Mann–Whitney U test. The findings of the study disclosed the significant pre-holiday mean returns for ADSMI, BHSEASI, DFMGI, MSM30, TASI and FTDKUW, whereas significant post-holiday mean returns were found only in MSM30 and TASI. The study provided evidence for the presence of a calendar anomaly like holiday effects in the major indices of the Gulf Co-operation Council and proved the market was not in an efficient form during the study period. Full article
14 pages, 295 KiB  
Article
The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance Approach
by Osamah AlKhazali, Hooi Hooi Lean and Taisier Zoubi
Int. J. Financial Stud. 2022, 10(4), 102; https://doi.org/10.3390/ijfs10040102 - 1 Nov 2022
Cited by 2 | Viewed by 2085
Abstract
This paper examines whether small Islamic firms’ returns stochastically dominate (outperform) the returns of large Islamic firms using Ascending and Descending Stochastic Dominance (ASD and DSD) approaches. In other words, we investigate the size anomaly in Islamic equity indices. We use global, European, [...] Read more.
This paper examines whether small Islamic firms’ returns stochastically dominate (outperform) the returns of large Islamic firms using Ascending and Descending Stochastic Dominance (ASD and DSD) approaches. In other words, we investigate the size anomaly in Islamic equity indices. We use global, European, Asian/Pacific, and US Islamic equity indices from 1996 to 2019. For risk-averse investors, we find that small-size portfolios of Islamic indices ASD outperform large-sized portfolios in Asia/Pacific and Europe, while the opposite is true in the Dow Jones and the US. For risk-seeking investors, we find that small-sized portfolios of Islamic indices DSD outperform large-sized portfolios in the Dow Jones and the US, while the opposite is true in Asia/Pacific and Europe. We conclude that a size anomaly is present, and Islamic stock indices are inefficient in the semi-strong form. The results of this study should assist those who are interested in investing in Islamic equity markets in building their investment portfolios. Full article
19 pages, 318 KiB  
Article
Corporate Social Responsibility Disclosure and Firm’s Productivity: Evidence from the Banking Industry in Bangladesh
by Yubin Zheng, Md. Harun Ur Rashid, Abu Bakkar Siddik, Wei Wei and Syed Zabid Hossain
Sustainability 2022, 14(10), 6237; https://doi.org/10.3390/su14106237 - 20 May 2022
Cited by 27 | Viewed by 4498
Abstract
Since the empirical evidence on the relationship between corporate social responsibility disclosure (CSRD) and firm productivity is scarce in the context of the banking industry, the study examines whether CSRD leads banks in Bangladesh to higher productivity. Using annual report data of all [...] Read more.
Since the empirical evidence on the relationship between corporate social responsibility disclosure (CSRD) and firm productivity is scarce in the context of the banking industry, the study examines whether CSRD leads banks in Bangladesh to higher productivity. Using annual report data of all 30 banks listed on the Dhaka Stock Exchange in Bangladesh from 2011 to 2018, the study applied a data envelopment analysis (DEA) to determine the productivity of the sample banks, and then ordinary least squares (OLS) analysis to examine the impact of CSR on the banks’ productivity. Furthermore, the study utilized two-stage least squares (2SLS) and a generalized method of moments (GMM) to check the robustness of the findings amid the detection of endogeneity issues. The study also used several alternative variables to check and verify the reliability of the study. The findings indicate that the greater a bank’s contribution to CSR, the higher its productivity. However, banks with more debt to assets are less productive. Additionally, the study observed that the impact of CSRD on bank productivity is higher in GRI banks compared to non-GRI banks, non-politically connected banks as opposed to politically connected banks, and conventional banks compared to Islamic banks. The study provides valuable insight into how CSR activities can promote bank productivity, thus motivating the banks to execute a well-thought-out action plan to ensure more CSR contribution. This study is the first ever bank-level evidence that provides insight into how the patterns of CSR activity of publicly traded banks impact their productivity. Full article
16 pages, 322 KiB  
Article
Geopolitical Uncertainties and Malaysian Stock Market Returns: Do Market Conditions Matter?
by Mohammad Enamul Hoque, Mohd Azlan Shah Zaidi and M. Kabir Hassan
Mathematics 2021, 9(19), 2393; https://doi.org/10.3390/math9192393 - 26 Sep 2021
Cited by 5 | Viewed by 5008
Abstract
Geopolitical uncertainties have been a concern for global economies and financial markets’ participants. By employing Markov switching regression and quantile regression, we investigated the effect of global and country-specific geopolitical uncertainties on Malaysian Conventional and Islamic stock returns in different market conditions. The [...] Read more.
Geopolitical uncertainties have been a concern for global economies and financial markets’ participants. By employing Markov switching regression and quantile regression, we investigated the effect of global and country-specific geopolitical uncertainties on Malaysian Conventional and Islamic stock returns in different market conditions. The estimated results of the Markov switching regression show that Malaysian conventional and Islamic stocks react differently to global and country-specific geopolitical uncertainties under different market volatility conditions, implying volatility dependent exposures and reactions to global and country-specific geopolitical uncertainties. The quantile regression results also reveal that Malaysian conventional and Islamic stocks respond differently to global and country-specific geopolitical uncertainties at different market stages. The empirical findings, therefore, indicate a heterogeneous and non-linear stock reaction to geopolitical uncertainties, providing new insights into geopolitical uncertainties and stock return relationships. Hence, the results will be valuable for asset pricing and investments in an emerging market such as the Malaysian market. Full article
(This article belongs to the Special Issue Statistical Methods in Economics)
22 pages, 3947 KiB  
Article
COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence
by Adil Saleem, Judit Bárczi and Judit Sági
J. Risk Financial Manag. 2021, 14(8), 389; https://doi.org/10.3390/jrfm14080389 - 20 Aug 2021
Cited by 18 | Viewed by 4569
Abstract
The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market’s reaction and changes in volatility before and during this pandemic. [...] Read more.
The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market’s reaction and changes in volatility before and during this pandemic. The market model of event study methodology was employed to analyze Islamic stock market reactions in nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized autoregressive conditional heteroscedasticity (GARCH) method was used. Nine Islamic stock indices were selected for this study from the Thomson Reuters data stream. The results suggest that, in the short run, the Islamic Australian stock index and Islamic GCC stock index remained stable for the first 15 days following news of the pandemic. The Islamic stock indexes of Qatar, UAE, ASEAN, MENA, MENASA, and Bahrain were significantly affected by the outbreak in the short-term. On the other hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by the WHO. Moreover, volatility shocks tended to persist for a longer period after COVID-19. Full article
(This article belongs to the Special Issue Financial Markets in Times of Crisis)
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29 pages, 2277 KiB  
Article
Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management
by Mohamed Yousfi, Abderrazak Dhaoui and Houssam Bouzgarrou
J. Risk Financial Manag. 2021, 14(5), 222; https://doi.org/10.3390/jrfm14050222 - 14 May 2021
Cited by 27 | Viewed by 5848
Abstract
This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the risk spillover [...] Read more.
This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the risk spillover has reached the highest level during the COVID-19 period, compared to the pre-COVID period, which means that the COVID-19 pandemic enforced the risk spillover between U.S. stock markets and the remains assets. We confirm the economic benefit of diversification in both tranquil and crisis periods (e.g., a negative dynamic conditional correlation between the VIX and SP500). Moreover, the hedging analysis exhibits that the Dow Jones Islamic has the highest hedging effectiveness either before or during the recent COVID19 crisis, offering better resistance to uncertainty caused by unpredictable turmoil such as the COVID19 outbreak. Our finding may have some implications for portfolio managers and investors to reduce their exposure to the risk in their portfolio construction. Full article
(This article belongs to the Special Issue Financial Markets in Times of Crisis)
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13 pages, 240 KiB  
Article
The Performance of Stock Portfolios: Evidence from Analysing Malaysia Case, and Implication for Open Innovation
by Ariful Hoque, Sharmeen Rakhi, Kamrul Hassan and Thi Le
J. Open Innov. Technol. Mark. Complex. 2020, 6(4), 178; https://doi.org/10.3390/joitmc6040178 - 4 Dec 2020
Cited by 6 | Viewed by 2941
Abstract
This research examines the performance of the Islamic stock portfolio (ISP) and conventional stock portfolio (CSP) for the five industrial sectors and market in Malaysia. The capital asset pricing model statistics indicate that the ISP provides a higher return with a lower systematic [...] Read more.
This research examines the performance of the Islamic stock portfolio (ISP) and conventional stock portfolio (CSP) for the five industrial sectors and market in Malaysia. The capital asset pricing model statistics indicate that the ISP provides a higher return with a lower systematic risk compared to the CSP in different sectors; however, the ISP and CSP perform equally in the market. The non-parametric stochastic dominance approach reveals that the ISP is better than the CSP for portfolio return without considering the riskiness for all sectors except properties; further, the ISP outperforms the CSP under the market condition. Economic significance analysis identifies that the expected financial loss of the ISP is lower than that of the CSP in all sectors other than properties; the anticipated financial loss of the ISP is significantly less than that of the CSP in the market situation. The overall findings imply that the risk-sharing ISP is superior to the risk-bearing CSP for better returns at the sector as well as the market level. Full article
27 pages, 10998 KiB  
Article
Time-Frequency Based Dynamics of Decoupling or Integration between Islamic and Conventional Equity Markets
by Muhammad Anas, Ghulam Mujtaba, Sadaf Nayyar and Saira Ashfaq
J. Risk Financial Manag. 2020, 13(7), 156; https://doi.org/10.3390/jrfm13070156 - 17 Jul 2020
Cited by 14 | Viewed by 3936
Abstract
This paper investigates the decoupling and integration between the region-wise (Asia, Europe, Africa and the Americas) developed and emerging market’s equity pairs of Islamic and conventional stock returns with the focus on multi-horizons. In doing so, daily wavelet and ADCC-based stock returns correlations [...] Read more.
This paper investigates the decoupling and integration between the region-wise (Asia, Europe, Africa and the Americas) developed and emerging market’s equity pairs of Islamic and conventional stock returns with the focus on multi-horizons. In doing so, daily wavelet and ADCC-based stock returns correlations are estimated to capture the dynamics of time-frequency and the time-domain based correlations, respectively. The findings of this study indicate that at the short-term horizon, the all selected emerging and developed Islamic and conventional equity markets across all regions depict a high positive correlation, suggesting a rejection of the decoupling hypothesis. However, it is accepted for some of the developed markets of the Pacific region (Hong Kong and New Zealand), Europe (Ireland, Denmark and Spain) and emerging markets of Asia (China), Europe (Czech Republic) and Americas (Argentina and Peru) at a medium-term horizon. Moreover, in an examination of the comparative behaviors of the wavelet and ADCC-based Islamic-conventional correlations, the observed transitional behavior has been exemplified as the difference between the time-frequency and time-domain analysis. This study provides fruitful insights for investors who opt for cross-asset allocation and seek maximum portfolio diversification benefits. Full article
(This article belongs to the Special Issue Islamic Finance)
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19 pages, 340 KiB  
Article
Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds
by Marwa Zouaoui
Int. J. Financial Stud. 2019, 7(3), 48; https://doi.org/10.3390/ijfs7030048 - 3 Sep 2019
Cited by 10 | Viewed by 5477
Abstract
This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment [...] Read more.
This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis (locally, Arab, internationally) and Sharia compliance (Islamic and conventional). The empirical results indicate that Islamic funds underperformed conventional funds internationally but not locally. Findings suggest that the market selectivity skills of managers in the Islamic funds are better than the conventional funds. In addition, only the managers of Saudi conventional funds investing internationally have a good market timing skills, thus, they are able to beat the market index by predicting its movements and buying and selling accordingly. Furthermore, this study gives a brief idea about the performance persistence of HSBC Saudi funds. The results confirm existence of the persistence performance when the funds do not apply Sharia law and when they are instead focused internationally. Full article
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