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The diversification benefit of Islamic investment to Chinese conventional equity investors
16 references·0 citing·42 second hop
The diversification benefit of Islamic investment to Chinese conventional equity investors (2019)The diversification benefit of Islamic in…The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses (2018)The time-varying linkages bet…The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors (2014)The diversification benefits …Islamic equity market integration and volatility spillover between emerging and US stock markets (2014)Islamic equity market integra…Temporal evolution of financial-market correlations (2011)Temporal evolution of financi…East Asian Financial Contagion under DCC-Garch (2009)East Asian Financial Contagio…Sectoral vs. Country Diversification Benefits and Downside Risk (2008)Sectoral vs. Country Diversif…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Asian Economic Integration and Stock Market Comovement (2002)Asian Economic Integration an…Asian Economic Integration and Stock Market Comovement (2001)Asian Economic Integration an…A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages (1997)A comparative analysis of the…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS (1988)ON THE CORRELATION STRUCTURE …International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Why Not Diversify Internationally Rather Than Domestically? (1974)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)International comovement of stock market returns: A wavelet analysis (2009)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Investor Protection, Ownership, and the Cost of Capital (2002)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2010)Interbank Exposures: An Empirical Examination of Systemic Risk in the Belgian Banking System (2010)Macroeconomic and Monetary Policy-Making at the EC, from the Rome Treaties to the Hague Summit (2010)Price-Setting Behaviour in Belgium: What Can Be Learned from an Ad Hoc Survey ? (2010)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2010)Portfolio Selection: Efficient Diversification of Investments (1959)Does industrial structure explain the benefits of international diversification? (1994)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps (1993)Temporal aggregation of volatility models (2003)Persistence and Kurtosis in GARCH and Stochastic Volatility Models (2004)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)An empirical analysis of herd behavior in global stock markets (2010)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On the dynamic links between commodities and Islamic equity (2016)Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods (2017)Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications (2017)Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective (2018)Stock market efficiency: A comparative analysis of Islamic and conventional stock markets (2018)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
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  • 1988ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS223 cited
  • 2014Islamic equity market integration and volatility spillover between emerging and US stock markets191 cited
  • 2014The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors183 cited
  • 2008Sectoral vs. Country Diversification Benefits and Downside Risk147 cited
  • 2002Asian Economic Integration and Stock Market Comovement143 cited
  • 1997A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages119 cited
  • 2009East Asian Financial Contagion under DCC-Garch113 cited
  • 2001Asian Economic Integration and Stock Market Comovement113 cited

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2011
Temporal evolution of financial-market correlations
112 cited
  • 2018The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses112 cited
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