Risk return profiles of Islamic equities and commodity portfolios in different market conditions

Sarkar Kabir, A. Mansur M. Masih, Obiyathulla Ismath Bacha

Research output: Contribution to journalArticle

4 Citations (Scopus)
21 Downloads (Pure)

Abstract

Motivated by the recent phenomenal growth in Islamic finance and the financialization of commodities, this study makes an initial attempt to investigate the risk-return profiles of optimized portfolios combining (a) Islamic equities with commodities and (b) conventional equities with commodities during the crises and non-crises periods. The findings tend to indicate that Islamic equity-commodity portfolios provide relatively higher diversification benefits than the conventional equity-commodity portfolios during the 1997 Asian Financial Crisis triggered by the financial sector compared to the 2008 global financial crisis triggered by the real housing sector. The findings further suggest that except for a few cases, commodities in general and gold in particular improve diversification benefits.
Original languageEnglish
Pages (from-to)1477-1500
Number of pages24
JournalEmerging Markets Finance and Trade
Volume53
Issue number7
Early online date13 Jan 2017
DOIs
Publication statusPublished - 2017

Keywords

  • diversification
  • volatility
  • unconditional correlation
  • Sharpe ratio
  • Markowitz portfolio optimization
  • dynamic conditional correlation

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