From dotcom to Covid-19: A convergence analysis of Islamic investments

Alexakis, Christos; Kenourgios, Dimitris; Pappas, Vasileios; Petropoulou, Athina

doi:10.1016/j.intfin.2021.101423

Cited by 15 publications

(7 citation statements)

References 143 publications

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“…Thus, investors can still diversify their portfolios by investing in these markets. These findings agree with previous studies [ [8] , [9] , [10] , [11] , 16 , 21 , 26 , 27 ], but not in line with others [ 12 , 13 , 15 ].…”

Section: Discussion Of Findingssupporting

confidence: 91%

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Performances of leading Islamic finance markets prior to and during the COVID-19 pandemic

Smolo

Jahangir

Nagayev

et al. 2023

Heliyon

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Section: Discussion Of Findingssupporting

confidence: 91%

“…In contrast to the above studies, Alexakis et al [ 10 ] compare conventional and Islamic equities and their convergence dynamics during 1996–2020. While examining different crises over the study period, the results indicate strong convergence between the two markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Performances of leading Islamic finance markets prior to and during the COVID-19 pandemic

Smolo

Jahangir

Nagayev

et al. 2023

Heliyon

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“…It is important to note however that § is nearly always different from 100 suggesting that the SC samples do not follow the performance of the conventional universe, consistent with the anti-herding behaviour found in Stavroyiannis and Babalos (2017). On the contrary, our findings are also consistent with Alexakis et al (2021), in the sense that the convergence of return performance between SC and conventional samples tend to be the strongest during times of crisis. Furthermore, the paper has also discovered that the QL sample shares very similar Sharpe ratios with the AS sample, and that § rises only when the conventional AS universe is screened by both qualitative and quantitative screenings, as illustrated in Figures 7 and 8.…”

Section: Resultssupporting

confidence: 67%

“…Furthermore, recent empirical investigations in the USA such as Stavroyiannis and Babalos (2017) show evidence of anti-herding behaviour within the Dow Jones Islamic indices, suggesting that return performances of samples of SC US firms should be consistently distinct from the conventional sample, especially during times of crisis. On the contrary, using Dow Jones World Aggregate Indices, Alexakis et al (2021) show strong evidence of convergence between Islamic and conventional investments, particularly during times of crisis, which indicates that samples of SC firms should show more similar return performances vis-à-vis the conventional sample as more time progresses. These conflicting findings highlight the need for further studies within samples of SC firms outside of the familiar Muslim countries, particularly in the USA.…”

Section: Prior Literaturementioning

confidence: 91%

Portfolio optimisation of Shariah-compliant samples in the USA

Sukor

Halim

2022

JIABR

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Purpose This paper aims to investigate the dynamic portfolio optimisation performance of numerous samples of Shariah-compliant firms in the USA vis-à-vis the overall conventional sample. Design/methodology/approach This paper constructs efficient frontiers and subsequently the capital market line using the ovport set of commands in STATA. From the capital market line, the tangent portfolio is found, and the Sharpe ratio of the tangent portfolio is the primary measurement of the dynamic portfolio optimisation performance of the samples of Shariah-compliant samples in this study. Findings This paper finds that the overall conventional sample will outperform the Shariah-compliant samples in most cases. However, there exists a consistent trend whereby the performance of the overall conventional sample will converge towards the performance of the Shariah-compliant samples (and even be lower at times), as the market approaches a looming crisis suggesting that the Shariah-compliant samples do not experience significant deteriorations in their performance as compared to the conventional sample and that they provide stability during such times. Research limitations/implications This paper assumes no transaction costs, illiquidity, bid-ask spread and non-compliant revenue purification all of which may negatively affect portfolio performance. Practical implications The findings of this paper suggest that Shariah-compliant samples should be included in portfolios during times of crisis because they are less affected by market-wide volatility. Social implications The stability of Shariah-compliant samples reflects the conservativity of the contemporary Shariah stock screening methodologies and the Shariah itself. Originality/value Portfolio optimisation studies on Shariah-compliant samples are usually static in nature and are conducted in selected Muslim countries. This paper studies the dynamic portfolio optimisation in the USA where a liquid Islamic capital market is non-existent.

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“…As various economic and financial integration processes occurred, as well as episodes of sharp falls in stock markets and financial crises, such as the global financial and sovereign debt crises beginning in 2008, international stock markets came closer together, which hindered the process of diversifying investment (Baur, 2012;Bekaert et al, 2014;Mandigma, 2014;Gabriel and Manso, 2014;Kenourgios and Dimitriou, 2015;Alexakis and Pappas, 2018;Gabriel and Pazos, 2018;Zhang and Broadstock, 2018;Elsayed and Yarovaya, 2019). In turn, the pandemic crisis was also an event with important implications for global stock markets, giving rise to sharp falls in index values as well as a significant increase in spillover effects (Umar et al, 2020a(Umar et al, , 2020bAlexakis et al, 2021).…”

Section: Literature Review 21 Connections Between Marketsmentioning

confidence: 99%

Connectedness between low carbon portfolios, economy and finance: the role of pandemic crisis and Ukrainian war

Gabriel

Neves

Vieira

et al. 2023

SBR

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Purpose The purpose of this work is to study the connections generated between stock market indices, representing firms whose practices focus on fighting climate change and several global risk factors in accordance with the sustainability objectives defined in the 2030 Agenda. An endogenous perspective is adopted, considering the spillovers generated within the low carbon stock market sector, as well as the latter’s exposure to exogenous shocks of an economic and financial nature. Design/methodology/approach This work uses a multivariate model of dynamic correlation (GARCH-corrected dynamic conditional correlation [cDCC]), which can accompany the correlations generated over time. Findings Considering five low carbon indices, representing various parts of the world, and four global macro-economic and financial variables, over a period of approximately eight years, it was possible to understand that the variables studied transmit between each other a statistically significant spillover. The period of the pandemic crisis shows a sharp increase in the information transmission process. It was also possible to conclude that some global variables are risk factors, performing the role of transmission channels for the spillover effects to low carbon indices, increasing the risk of contagion and reducing the possibilities of diversifying the investment portfolio. Originality/value Firstly, this work analyses the connection and spillover effects between low carbon indices. Secondly, considers an extended sample covering different market phases, particularly that of the pandemic crisis and the Ukrainian War, creating conditions to compare connection patterns between those indices. Thirdly, it studies the variable influence over time of global risk factors in the transmission of spillover between low carbon indices.

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From dotcom to Covid-19: A convergence analysis of Islamic investments

Cited by 15 publications

References 143 publications

Performances of leading Islamic finance markets prior to and during the COVID-19 pandemic

Performances of leading Islamic finance markets prior to and during the COVID-19 pandemic

Portfolio optimisation of Shariah-compliant samples in the USA

Connectedness between low carbon portfolios, economy and finance: the role of pandemic crisis and Ukrainian war

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