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Do ṣukūk and Islamic indexes act as safe refuge to conventional stock markets? Evidence from Markov-switching CAPM approach

Bahloul, Slah; Mathlouthi, Fatma - In: Islamic Economic Studies (IES) 30 (2022) 1, pp. 64-83

Purpose The objective of this paper is twofold. First, to study the safe-haven characteristic of the Islamic stock indexes and ṣukūk during the crises time. Second, to evaluate this property in the last pandemic. This study employs the daily dataset from June 15, 2015, to June 15, 2020, for...

Persistent link: https://www.econbiz.de/10015397937

Shadow banking: Financial intermediation beyond banks

Jokivuolle, Esa (contributor) - 2018

Shadow banking is a broad concept. A possible definition is that it comprises non-bank institutions which undertake bank-like activities. Another characteristic is that the sector is overall less regulated. Therefore there are still shortcomings in systematic collection of information of the sector.

Persistent link: https://www.econbiz.de/10011985212

¿Agrega valor el modelo Black-Litterman en portafolios del Mercado Integrado Latinoamericano (MILA)? Evaluación empírica 2008-2016

Luna-Ramírez, Susana; Agudelo, Diego A. - In: Revista de Métodos Cuantitativos para la Economía y … 27 (2019), pp. 55-73

high degree of diversification. This model is applied quarterly, to stock portfolios of the countries of the MILA: Colombia …

Persistent link: https://www.econbiz.de/10014494386

Factor investing: alpha concentration versus diversification

Heinrich, Lars; Shivarova, Antoniya; Zurek, Martin - In: Journal of Asset Management 22 (2021) 6, pp. 464-487

Despite extensive research support, the role of diversification in current factor investing strategies remains …, but should also include portfolio diversification effects. While the alpha concentration approach mainly considers factor … account for portfolio diversification. The corresponding out-of-sample results show that including an efficient covariance …

Persistent link: https://www.econbiz.de/10014502065

Pakistan: A study of market's returns and anomalies

Tauseef, Sana; Dupuy, Philippe - In: Journal of Economics, Finance and Administrative Science 27 (2022) 54, pp. 344-363

diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and … cost as liquidity measures. Findings - Pakistan's equity offers substantial diversification benefits if added to developed …

Persistent link: https://www.econbiz.de/10014516435

Firm-level evidence on international stock market comovement

Brooks, Robin; Del Negro, Marco - 2005

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

Persistent link: https://www.econbiz.de/10010295679

Investing in times of inflation fears: Diversification properties of investments in liquid real assets

Grelck, Michael B.; Prigge, Stefan; Tegtmeier, Lars; … - 2010

The financial crisis and the rescue measures taken by governments and central banks increased investors' interest in liquidity and in real assets supposed to offer a hedge against inflation. Against this background, we investigate empirically four real assets (real estate, commodities,...

Persistent link: https://www.econbiz.de/10010302755

Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10010325987

Leveraged Carry Trade Portfolios

Darvas, Zsolt - 2008

Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the...

Persistent link: https://www.econbiz.de/10010494390

Are cryptocurrencies connected to forex? A quantile cross-spectral approach

Baumöhl, Eduard - 2018

This paper aims to elucidate the connectedness between major forex currencies and cryptocurrencies using the quantile cross-spectral approach recently proposed by Baruník and Kley (2015). The sample covers six forex currencies and six cryptocurrencies over the period of 1 September 2015 to 29...

Persistent link: https://www.econbiz.de/10011792016