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Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes

Amel Belanes, Foued Saâdaoui, Mohammad Abedin Orcid Logo

Research in International Business and Finance, Volume: 67, Start page: 102098

Swansea University Author: Mohammad Abedin Orcid Logo

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DOI (Published version): 10.1016/j.ribaf.2023.102098

Abstract

The study aims to contribute to the better understanding of potential diversification benefits for US and its major trading partners, namely Canada, Japan, and the UK, across both Islamic and conventional indexes. We applied a Dynamic Conditional Correlations (DCC) model to examine the dynamic corre...

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Published in: Research in International Business and Finance
ISSN: 0275-5319 1878-3384
Published: Elsevier BV 2024
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URI: https://cronfa.swan.ac.uk/Record/cronfa64516
first_indexed 2023-09-12T16:28:05Z
last_indexed 2024-11-25T14:14:10Z
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spelling 2023-10-04T13:44:08.7614245 v2 64516 2023-09-12 Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes 4ed8c020eae0c9bec4f5d9495d86d415 0000-0002-4688-0619 Mohammad Abedin Mohammad Abedin true false 2023-09-12 CBAE The study aims to contribute to the better understanding of potential diversification benefits for US and its major trading partners, namely Canada, Japan, and the UK, across both Islamic and conventional indexes. We applied a Dynamic Conditional Correlations (DCC) model to examine the dynamic correlation and volatility of returns during 2001-2017. The findings put in evidence that, unlike Canadian peers, Japanese indexes exhibit a low dynamic correlation with US indexes, which ultimately suggests diversification opportunities for US-based investors. Understanding volatilities and correlations patterns through international markets would help investors, policymakers, and market participants to take informed decisions, mitigate risks, and anticipate potential spillover effects. Journal Article Research in International Business and Finance 67 102098 Elsevier BV 0275-5319 1878-3384 Islamic finance, Stock market integration, Diversification benefits, DCC-GARCH 31 1 2024 2024-01-31 10.1016/j.ribaf.2023.102098 http://dx.doi.org/10.1016/j.ribaf.2023.102098 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University SU Library paid the OA fee (TA Institutional Deal) Swansea University 2023-10-04T13:44:08.7614245 2023-09-12T17:25:54.7407353 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Amel Belanes 1 Foued Saâdaoui 2 Mohammad Abedin 0000-0002-4688-0619 3 64516__28700__8cedc0c1ed7d49dab4e38a699baf5b6d.pdf 64516.VOR.pdf 2023-10-04T13:41:25.1900039 Output 1917166 application/pdf Version of Record true © 2023 The Author(s). Published by Elsevier B.V. Distributed under the terms of a Creative Commons Attribution 4.0 License (CC BY 4.0). true eng https://creativecommons.org/licenses/by/4.0/
title Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes
spellingShingle Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes
Mohammad Abedin
title_short Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes
title_full Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes
title_fullStr Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes
title_full_unstemmed Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes
title_sort Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author Mohammad Abedin
author2 Amel Belanes
Foued Saâdaoui
Mohammad Abedin
format Journal article
container_title Research in International Business and Finance
container_volume 67
container_start_page 102098
publishDate 2024
institution Swansea University
issn 0275-5319
1878-3384
doi_str_mv 10.1016/j.ribaf.2023.102098
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url http://dx.doi.org/10.1016/j.ribaf.2023.102098
document_store_str 1
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description The study aims to contribute to the better understanding of potential diversification benefits for US and its major trading partners, namely Canada, Japan, and the UK, across both Islamic and conventional indexes. We applied a Dynamic Conditional Correlations (DCC) model to examine the dynamic correlation and volatility of returns during 2001-2017. The findings put in evidence that, unlike Canadian peers, Japanese indexes exhibit a low dynamic correlation with US indexes, which ultimately suggests diversification opportunities for US-based investors. Understanding volatilities and correlations patterns through international markets would help investors, policymakers, and market participants to take informed decisions, mitigate risks, and anticipate potential spillover effects.
published_date 2024-01-31T20:25:05Z
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score 11.04748

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