Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Portfolio selection in Asia/Pacific region-Islamic markets

Portfolio selection in Asia/Pacific region-Islamic markets Islamic capital markets, i.e. ICMs, featured as socially responsible investments, less levered and more reflective of the real sector, are a recent development in financial markets showing an impressive growth and offering the potential for portfolio diversification benefits. The purpose of this study is to understand the long-run integration of ICMs in the Asia/Pacific region.Design/methodology/approachThis sample includes ICMs of Asia/Pacific region (such as Pakistan, India, China, Japan, Thailand, Malaysia and Indonesia) for 280 weeks between 2011 and 2016. Selected indexes are FTSE Islamic except for Pakistan and Indonesia. Evidence was obtained through the application of correlation, unit root, Johansen cointegration and Granger causality tests.FindingsThis study documents the results of the integration of ICMs based on developmental stage, geographic location, economic cooperation and shared religious beliefs/civilization. Partial support was observed for all hypotheses: integration of markets based on economic grouping, location, economic treaties and shared civilization. The Japanese market was the most integrated, while the Indian and Malaysian markets are the least. Evidence supports the shift of leadership role from advanced markets to emerging markets.Practical implicationsSelected diversification opportunities are available for global Islamic as well as conventional investors. This study recommends closer cooperation among Muslim majority countries of the region, as well as the effective use of economic cooperation treaties for joint economic growth and prosperity.Originality/valueThis study contributes to the literature by providing evidence on the integration of ICMs in an economically important region (Asia/Pacific) that is witnessing an increasing role in the global gross domestic product and international trade. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Islamic Accounting and Business Research Emerald Publishing

Portfolio selection in Asia/Pacific region-Islamic markets

Download PDF
24 pages

Loading next page...
 
/lp/emerald-publishing/portfolio-selection-in-asia-pacific-region-islamic-markets-BeCYsls842
Publisher
Emerald Publishing
Copyright
© Emerald Publishing Limited
ISSN
1759-0817
DOI
10.1108/jiabr-02-2018-0022
Publisher site
See Article on Publisher Site

Abstract

Islamic capital markets, i.e. ICMs, featured as socially responsible investments, less levered and more reflective of the real sector, are a recent development in financial markets showing an impressive growth and offering the potential for portfolio diversification benefits. The purpose of this study is to understand the long-run integration of ICMs in the Asia/Pacific region.Design/methodology/approachThis sample includes ICMs of Asia/Pacific region (such as Pakistan, India, China, Japan, Thailand, Malaysia and Indonesia) for 280 weeks between 2011 and 2016. Selected indexes are FTSE Islamic except for Pakistan and Indonesia. Evidence was obtained through the application of correlation, unit root, Johansen cointegration and Granger causality tests.FindingsThis study documents the results of the integration of ICMs based on developmental stage, geographic location, economic cooperation and shared religious beliefs/civilization. Partial support was observed for all hypotheses: integration of markets based on economic grouping, location, economic treaties and shared civilization. The Japanese market was the most integrated, while the Indian and Malaysian markets are the least. Evidence supports the shift of leadership role from advanced markets to emerging markets.Practical implicationsSelected diversification opportunities are available for global Islamic as well as conventional investors. This study recommends closer cooperation among Muslim majority countries of the region, as well as the effective use of economic cooperation treaties for joint economic growth and prosperity.Originality/valueThis study contributes to the literature by providing evidence on the integration of ICMs in an economically important region (Asia/Pacific) that is witnessing an increasing role in the global gross domestic product and international trade.

Journal

Journal of Islamic Accounting and Business Research – Emerald Publishing

Published: Apr 2, 2020

Keywords: Pakistan; Cointegration; Asia-Pacific; Granger causality; Islamic capital market

References

  • Financial papers (shares and bonds); shari’ah standard #21 in shari’ah standards
  • Corporate Social Responsibility, Conduct and Disclosure for Islamic Financial Institutions; Governance Standard # 7 in Accounting, Auditing and Governance Standards
  • Islamic stock markets and potential diversification benefits
    Abbes, M.B.; Trichilli, Y.
  • Islamic norms for stock screening: a comparison between the Kuala Lumpur stock exchange Islamic index and the dow jones Islamic market index
    Abdulrahman, A.; Yahya, M.A.; Nasir, M.H.M.
  • How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests
    Ajmi, A.N.; Hammoudeh, S.; Nguyen, D.K.; Sarafrazi, S.
  • Comovement between emerging and developed stock markets: an investigation through cointegration analysis
    Ali, S.; Butt, B.Z.; Rehman, K.
  • Shariah screening criteria (for equity securities)
  • Best performing equity index 2016
  • Islamic and conventional equity indices: an examination of cointegration and hedging
    Boldin, R.J.; Chaudhry, M.; Affaneh, I.
  • Stock market linkages: evidence from Latin America
    Chen, G.; Firth, M.; Rui, O.M.
  • Dynamic asian stock market convergence: evidence from dynamic cointegration analysis among China and ASEAN-5
    Chien, M.S.; Lee, C.C.; Hu, T.C.; Hu, H.T.
  • Volatility spillovers and linkages in asian stock markets
    Chow, H.W.
  • Integration and dynamic linkages of the Indian stock market with BRIC – an empirical study
    Dasgupta, R.
  • Review and analysis of current shariah-compliant equity screening practices
    Derigs, U.; Marzban, S.
  • FTSE shariah global equity index series
  • The impacts of emerging asia on global financial markets
    Fukuda, S.; Tanaka, M.
  • The dynamics of central european equity market comovements
    Gilmore, C.G.; Lucey, B.M.; McManus, G.M.
  • Is there a cost to faith-based investing: evidence from FTSE Islamic indices
    Girard, E.; Hassan, M.K.
  • Global sustainable investment review global sustainable investment alliance
  • Efficiency and dynamics of Islamic investment: evidence of geopolitical effects on dow jones Islamic market indexes
    Guyot, A.
  • Risk and return of Islamic stock market indexes
    Hakim, S.; Rashidian, M.
  • Sharīʿah screening process of capital markets: an evaluation of methodologies
    Hanif, M.
  • Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors
    Hammoudeh, S.; Mensi, W.; Reboredo, J.C.; Nguyen, D.K.
  • Is faith‐based investing rewarding? The case for malaysian Islamic unit trust funds
    Hassan, M.K.; Khan, A.N.F.; Ngow, T.
  • Are Islamic stock markets integrated globally? Evidence from time series techniques
    Kabir, S.H.; Dewandaru, G.; Masih, M.
  • Linkages between the US and european equity markets: further evidence from cointegration tests
    Kanas, A.
  • Global Financial Crisis and Integration of Islamic Stock Markets in Developed and Developing Countries
    Kassim, S.H.
  • Are Islamic equity indices more efficient than their conventional counterparts? Evidence from major global index families
    Khamlichi, A.E.; Sarkar, K.; Arouri, M.; Teulon, F.
  • Shari’ah compliant equity investments: an assessment of current screening norms
    Khatkhatay, M.H.; Nisar, S.
  • An analysis of the short- and long-run relationships between South Asian and developed equity markets
    Lamba, A.S.
  • Islamic equity market integration and volatility spillover between emerging and US stock markets
    Majdoub, J.; Mansour, W.
  • Potential diversifications benefits across global Islamic equity markets
    Majid, M.S.A.; Kassim, S.H.
  • Investment in equities: Sharī‘ah appraisal of screening norms
    Mansoori, M.T.; Khan, A.
  • Portfolio selection
    Markowitz, H.
  • Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on asian emerging stock markets
    Masih, A.M.M.; Masih, R.
  • Issues in Islamic equities: a literature survey
    Masih, M.; Kamil, N.K.M.; Bacha, O.I.
  • Cointegration of Indian stock markets with other leading stock markets
    Menon, N.R.; Subha, M.V.; Sagaran, S.
  • Interdependence and dynamic linkages between the emerging stock markets of South Asia
    Narayan, P.K.; Smyth, R.
  • Cointegration of stock markets between Newzealand, Australia and the G7 economies: searching for co-movement under structural changes
    Narayan, P.K.; Smyth, R.
  • Some issues in shari’ah compliance and regulation of Islamic funds
    Obaidullah, M.
  • The organization of Islamic cooperation
  • Sharia capital market
  • Muslims and Islam: key findings in the U.S. and around the world
  • Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis
    Saiti, B.; Bacha, O.I.; Masih, M.
  • Revision of shari’ahh screening methodology: the status of shari’ahh compliant companies in Malaysia
    Sani, N.A.
  • The effect of US stock market uncertainty on emerging market returns
    Sarwar, G.; Khan, W.
  • Are the global stock markets inter-linked? Evidence from the literature
    Sharma, G.D.; Bodla, B.S.
  • Literature review of stock market integration: a global perspective
    Sharma, A.; Seth, N.
  • Integration among Asia-Pacific and international stock markets: common stochastic trends and regime shifts
    Siklos, P.L.; Ng, P.
  • Islamic capital market interconnection: evidence from Jakarta Islamic index to the regional Islamic market and global Islamic market
    Siskawati, E.
  • Equity market integration in central European emerging markets: a cointegration analysis with shifting regimes
    Voronkova, S.
  • Between BRIC and G3: Shari’ah-compliant stock markets cointegration
    Wahid, R.M.
  • Gross domestic product 2015
  • World trade organisation – statistics time series
  • Cointegration analysis and influence rank – a network approach to global stock markets
    Yang, C.; Chen, Y.; Niu, L.; Li, Q.
  • Dynamic linkages among SAMI nations (Saudi Arabia, Turkey, Malaysia, Indonesia) equity markets
    Youcef, G.; Adewale, A.D.
  • Towards an Islamic international financial hub: the role of Islamic capital market in Malaysia
    Yusof, R.M.; Majid, M.S.A.
  • Has there been any change in the comovement between the Chinese and US stock markets?
    Zhang, B.; Li, X.M.