Are there long-run diversification gains from the Dow Jones Islamic finance index?
| 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.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| 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 |