Are there long-run diversification gains from the Dow Jones Islamic finance index?

Balcilar, Mehmet; Jooste, Charl; Hammoudeh, Shawkat; Gupta, Rangan; Babalos, Vassilios

dc.contributor.author	Balcilar, Mehmet
dc.contributor.author	Jooste, Charl
dc.contributor.author	Hammoudeh, Shawkat
dc.contributor.author	Gupta, Rangan
dc.contributor.author	Babalos, Vassilios
dc.date.accessioned	2015-06-19T05:44:27Z
dc.date.available	2015-06-19T05:44:27Z
dc.date.issued	2015
dc.description.abstract	We compare a nonlinear (time-varying) cointegration test with the standard cointegration test in studying the long-run relationship of the Dow Jones Islamic finance index with three other conventional global equity market indices. Our results show that there is a long-run nonlinear cointegrating relationship between the Dow Jones Islamic stock market index and other conventional stock market indices, which is not picked up by the linear cointegration test. Thus, Islamic markets seem to offer little, if any, long-run diversification to international investors.	en_ZA
dc.description.embargo	2016-06-30	en_ZA
dc.description.librarian	hb2015	en_ZA
dc.description.uri	http://www.tandfonline.com/loi/rael20	en_ZA
dc.identifier.citation	Mehmet Balcilar, Charl Jooste, Shawkat Hammoudeh, Rangan Gupta & Vassilios Babalos (2015) Are there long-run diversification gains from the Dow Jones Islamic finance index?, Applied Economics Letters, 22:12, 945-950, DOI:10.1080/13504851.2014.990613	en_ZA
dc.identifier.issn	1350-4851 (print)
dc.identifier.issn	1466-4291 (online)
dc.identifier.other	10.1080/13504851.2014.990613
dc.identifier.uri	http://hdl.handle.net/2263/45601
dc.language.iso	en	en_ZA
dc.publisher	Routledge	en_ZA
dc.rights	© 2014 Taylor and Francis. This is an electronic version of an article published in Applied Economics Letters, vol. 22, no. 12, pp.945-950, 2015. doi : 10.1080/13504851.2014.990613. Applied Economics Letters is available online at : http://www.tandfonline.com/loi/rael20	en_ZA
dc.subject	Islamic and conventional finance	en_ZA
dc.subject	Time-varying cointegration	en_ZA
dc.subject	Dow Jones Islamic finance index	en_ZA
dc.title	Are there long-run diversification gains from the Dow Jones Islamic finance index?	en_ZA
dc.type	Postprint Article	en_ZA