Safika Praveen Sheikh, Shafkat Shafi Dar, Sajad Ahmad Rat Safika Praveen Sheikh, Shafkat Shafi Dar, Sajad Ah
{"title":"Volatility Contagion and Portfolio Diversification among Sharīʿah and Conventional Indices: An Evidence by MGARCH Models","authors":"Safika Praveen Sheikh, Shafkat Shafi Dar, Sajad Ahmad Rat Safika Praveen Sheikh, Shafkat Shafi Dar, Sajad Ah","doi":"10.4197/islec.33-1.3","DOIUrl":null,"url":null,"abstract":"Risk mitigation is one of the main concerns for an investor, and has gotten renewed attention after the 2007-2008 financial crisis. This paper tries to examine the scope of Sharīʿah indices in offering an opportunity for portfolio diversification. The paper empirically analyzes the existence of volatility contagion among conventional and Sharīʿah indices and delves into the presence of portfolio diversification opportunities among them.","PeriodicalId":39159,"journal":{"name":"Journal of King Abdulaziz University, Islamic Economics","volume":"197 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of King Abdulaziz University, Islamic Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4197/islec.33-1.3","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 2
Abstract
Risk mitigation is one of the main concerns for an investor, and has gotten renewed attention after the 2007-2008 financial crisis. This paper tries to examine the scope of Sharīʿah indices in offering an opportunity for portfolio diversification. The paper empirically analyzes the existence of volatility contagion among conventional and Sharīʿah indices and delves into the presence of portfolio diversification opportunities among them.
期刊介绍：
The aims and scope of the journal include: -To develop the emerging paradigm of Islamic economics on scientific lines through publishing original works in this field that pass its peer review process. -To promote dialogue and discussion on current issues in the fields of Islamic economics and finance among the international community of scholars. -To encourage empirical research on Islamic finance, takaful, zakah, awqaf and other Islamic institutions including case studies from Muslim economies. -Contemporary global economic issues viewed from an Islamic perspective. To publish book reviews of important works published in the field, including books in conventional economics, business and finance having some connection with Islamic economics and/or finance.
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