Similar Search Results

Dynamic portfolio rebalancing with safe-haven assets

Diseko, Nomathemba Veronica; Bonga-Bonga, Lumengo; … - 2015

gold as the SHA on portfolio performance. The results showed that including the SHA, like gold, significantly improved … performance decreased by -0.179% during COVID-19 when gold was included in the IP. In contrast, during the RU war, the highest … portfolio value increased by 2.99% when gold was included in the IP. During the GFC, the portfolio that included gold …

Persistent link: https://www.econbiz.de/10015214850

The Conditional Volatility Premium on Currency Portfolios

Byrne, Joseph; Sakemoto, Ryuta - 2021

Our paper examines conditional risk-return relations in a cross-section of currency portfolios, while modeling economic states using a large number of underlying risk factors. We identify a time-varying relationship between currency returns and volatility risk: investors require a positive risk...

Persistent link: https://www.econbiz.de/10015230493

Nonparametric approach to portfolio diversification: the case of Australian equity market.

Trofimov, Ivan D. - 2013

This study investigates the portfolio diversification possibilities among Australian sectoral, size and style indexes and between Australian aggregate equity index and selected international indexes. Two analytical methods are used – nonparametric cointegration that appears to be the most...

Persistent link: https://www.econbiz.de/10015256296

Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?

Umirah, Fatin; Masih, Mansur - 2017

This paper is aimed at determining the dynamic links of conventional and Islamic, regional and international equity markets with Shariah compliant equity (FTSE Hijrah Shariah Index) investing in Malaysia using MGARCH-DCC and Wavelet Coherence, given different holding periods. The data for this...

Persistent link: https://www.econbiz.de/10015256427

Are the Islamic and conventional money markets really highly correlated ? MGARCH-DCC and Wavelet approaches

Chen, Bai; Masih, Mansur - 2017

Criticisms of Islamic banks and financial products motivate us to re-examine whether the profit rate of Islamic financial products and conventional interest rate are highly related or not. It is well known that interest rate is highly influenced by the economic policies, so, in this research we...

Persistent link: https://www.econbiz.de/10015256514

Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?

Umairah, Fatin; Masih, Mansur - 2017

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...

Persistent link: https://www.econbiz.de/10015257901

The impact of oil and gold price fluctuations on the South African equity market: volatility spillovers and implications for portfolio management

Morema, Kgotso; Bonga-Bonga, Lumengo - 2018

This paper aims to study the impact of gold and oil price fluctuations on the volatility of the South African stock … that are constituted of a pair of assets, namely oil-stock and gold-stock pairs. The findings of the study show that there … is significant volatility spillover between the gold and the stock markets, and the oil and stock markets. This finding …

Persistent link: https://www.econbiz.de/10015260809

Investigating International Portfolio Diversification Opportunities for the Asian Islamic Stock Market Investors

Yildirim, Ramazan; Masih, Mansur - 2018

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...

Persistent link: https://www.econbiz.de/10015262192

Islamic equity as an alternative investment from the perspective of the Southeast Asian investors: evidence from MGARCH-DCC and Wavelet Coherence

Suwanhirunkul, Suwijak; Masih, Mansur - 2018

benefit of global Islamic equity (in the World, US, EU and Asia Pacific region) from the perspective of the conventional … in World, Europe and US regions but not in Asia Pacific region. Short-term and Medium-term investors face limited …

Persistent link: https://www.econbiz.de/10015263899

The Impact of Brexit on Islamic Stock Markets Employing MGARCH-DCC and Wavelet Correlation Analysis

Cikiryel, Burak; Masih, Mansur - 2017

Recent literature attract the attention to the issue of whether heterogeneity in stock holding periods has an impact on resulting investor exposures. In this research, we aim to study co-movement dynamics of Islamic equity returns to explain international portfolio diversification opportunities...

Persistent link: https://www.econbiz.de/10015264962