This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

This paper proposes a straightforward Markov-switching asset allocation model, which reduces the market exposure to periods of high volatility. The main purpose of the study is to examine the performance of a regime-based asset allocation strategy under realistic assumptions, compared to a buy...

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

The paper asks the following questions: (i) What is the extent of the dynamic linkage of the conventional and Islamic stocks with the Malaysian Islamic stock market? (ii) Should the Malaysian Islamic stock market investors invest in (regional and international) conventional or Islamic equity...

The article analyzes the possibilities for calculating estimates for beta coefficients of publicly traded companies in the specific conditions of the Bulgarian capital market. A relevant methodology is presented and such estimates for the most liquid issues are calculated on the basis of an...

The purpose of this paper is to analyze the possible portfolio diversification opportunities between Asian Islamic market and other regions’ Islamic markets; namely USA, Europe and BRIC. This study makes the initial attempt to fill in the gaps of previous studies by focusing on the proxies of...

This paper examines the behaviour of high and low prices of four commodities, namely crude oil, natural gas, gold and silver, and of the corresponding ranges using both daily and intraday data at various frequencies. For this purpose, it applies fractional integration and cointegration...

International diversification of equity is important for investors who want to reduce risk of capital loss. However, international diversification benefit is inconclusive. This research is the initial attempt to find international diversification benefit of global Islamic equity (in the World,...

The global financial crises have made investors rethink their strategies of diversifying their portfolios by allocating their assets/capitals into Islamic equities. The feature of investment based on real assets by the Islamic equity market has made the market more stable during financial...

The increase of globalization and financial liberalization along with the recurrence of the financial crises have made the issue of global stock market integration crucial particularly from the view of portfolio diversification. Moreover, an empirical time-scale-varying analysis from the...