The paper is the first attempt to analyse the impact of debt on economic growth in the context of Indonesia by combining the application of wavelet and non-linear techniques. Our results tend to indicate that there are complex lead-lag dynamic interactions between external debt-to-GDP ratio and...

Mansur Masih3 Abstract This research studies the benefit of the practice of Restricted Short Selling (RSS) on the Islamic stocks. Benefit is defined as the influence of the application of RSS on the stock returns and ultimately, on the market. Malaysia is used as a case study. Using dynamic...

In theory, the price of equity is determined by the dividend yields and growth potentials of the firms. There exists established empirical proof of the impact of macroeconomic changes to the equity markets. With the advent of Islamic equities, and the recent surge of interest in them have raised...

Our study measures co-movements in Islamic and conventional equity markets, to discover contagion and to measure integration level. We apply wavelet decomposition to unveil the multi-horizon nature of co-movement. We find that the subprime crisis generates fundamental-based contagion for both...

Increasingly Islamic financial institutions are being pressured by critics to offer profit and loss sharing (PLS) financing for the purpose of entrepreneurial development. We believe the growth of PLS can be incentivized by increasing the participation of Islamic asset managers and mutual funds...

This study investigates both conventional and Islamic investors’ problems as to whether the inclusion of Islamic and conventional asset classes may expand the frontier of their respective portfolios. Our sample covers the global U.S. portfolios and Malaysian portfolios with multiple asset...

Co-movements in equity markets may reflect either financial contagion or stock market integration. While the former tends to demonstrate financial stability and resiliency, the latter has played an important role for stock market development. This paper attempts to investigate the co-movements,...

This study constructs active Islamic portfolios using a multi-style rotation strategy, derived from the three prominent styles, namely, momentum, value, and quality investing. We use the stocks that are consistently listed in the U.S. Dow Jones Islamic index for a sample period from 1996 to...

Islamic equity portfolios work with a smaller investment universe given the filtering of non-Shari’ah compliant stocks. It has been theoretically argued that this culminates in suboptimal portfolio diversification which in turn adversely affects risk-adjusted returns. We employ a number of...

The paper is the first attempt to evaluate the role of gold as a hedge (negative or low correlation with equities in normal market conditions) and safe haven (negative or low correlation in times of market turbulence) by using the daily data for gold and Shariah-compliant equities ranging from...