Global risk exposures and industry diversification with Shariah-compliant equity sectors

Show simple item record Balcilar, Mehmet Demirer, Riza Hammoudeh, Shawkat 2016-02-17T09:45:44Z 2015-11
dc.description.abstract This paper examines the risk exposures of ten major Islamic sector indexeswith respect to shocks in global conventional markets. Utilizing a dynamic three-regime, three-factor risk spillover model, we generally observe positive risk exposures of Islamic equity sectors with respect to developed market shocks. Consumer Services, Oil & Gas and Technology, however, are found to exhibit negative risk exposures during crash periods, implying possible safe haven benefits for global investors. Both in- and out-of-sample results suggest that the portfolios supplemented with positions in Islamic equity sectors yield much improved risk adjusted returns, implying significant international diversification benefits. Financials, Healthcare, Telecommunication, and Utilities particularly stand out with relatively higher weights allocated in the optimal portfolios, implying the significance of these Islamic sectors in global diversification strategies. en_ZA
dc.description.embargo 2016-11-30
dc.description.librarian hb2015 en_ZA
dc.description.uri en_ZA
dc.identifier.citation Balcilar, M, Demirer, R & Hammoudeh, S 2015, 'Global risk exposures and industry diversification with Shariah-compliant equity sectors', Pacific Basin Finance Journal, vol. 35, part B, pp. 499-520. en_ZA
dc.identifier.issn 0927-538X (print)
dc.identifier.issn 1879-0585 (online)
dc.identifier.other 10.1016/j.pacfin.2015.09.002
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2015 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Pacific-Basin Finance Journal. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Pacific-Basin Finance Journal, vol. 35, Part B, pp. 499-520, 2015. doi :10.1016/j.pacfin.2015.09.002. en_ZA
dc.subject Islamic equity sectors en_ZA
dc.subject Multivariate regime-switching en_ZA
dc.subject Time-varying correlations en_ZA
dc.subject Financial integration en_ZA
dc.subject International portfolio diversification en_ZA
dc.title Global risk exposures and industry diversification with Shariah-compliant equity sectors en_ZA
dc.type Postprint Article en_ZA

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