A major issue in both Islamic finance and conventional is whether the shocks to volatilities asset returns are substitutes or complements terms of taking risk. An understanding how correlations between change over time including their directions (positive negative) size (stronger weaker) crucial importance for domestic international investors with a view diversifying portfolios hedging against unforeseen risks. This study first attempt advance frontier knowledge particularly fast growing...

This study is a first attempt at testing the extent of contagion for conventional and Shari'ah-compliant stock indices. We examine period surrounding U.S. subprime crisis 2007–9 Lehman Brothers collapse 2008 to determine relative contagion. find no clear evidence during however, most indices showed Interestingly, mostly do not show Collectively, our results have important implications fund managers in terms asset allocation risk policymakers seeking an optimal policy response crises.

This article reviews the current literature on Islamic equities. Our survey indicates that bulk of articles is quantitative or empirical in nature, with a notable dearth theoretical works. Among common research themes explored by these are comparative performances equities vis-à-vis their conventional counterparts, comparisons portfolios SRI funds, and empirically articulating portfolio diversification benefits associated In addition, numerous discuss idiosyncrasies Shari'ah compliant stocks...

Recent literature draws attention to the issue of whether heterogeneity in investment horizons has an effect on resulting investor exposures. In this article, using Malaysia as a case study, we make first attempt examine comovement dynamics Islamic equity returns identify international portfolio diversification opportunities for investors having heterogeneous horizons. We use three recent and appropriate methodologies: M-GARCH-DCC, Continuous Wavelet Transforms (CWT), Maximum Overlap...

Purpose This paper seeks to examine the operation of an Islamic inter‐bank money market (IIMM), within a dual banking system. Design/methodology/approach The describes Malaysia's IIMM. It then examines some key risks associated with functions. An empirical examination extent which yields in IIMM are correlated conventional is undertaken. implication this on interest‐rate exposure for financial sector discussed. Finally, looks at challenges and offers conclusions. Findings argues that even...

This article examines the feasibility of a Common Currency Area (CCA) for ASEAN and broader +5. Using macro-economic data 14 East Asian countries over 34-year period 1970–2003, this addresses whether Euro style CCA would be well suited these countries. Issues such as costs benefits involved which may best are examined. Previous literature on currency unions have identified synchronous business cycles, similarity in inflation levels policy congruence to among essential preconditions. A Vector...

This article undertakes an in-depth study of the foreign exchange exposure Malaysian listed firms. We examine several issues related to firm-specific and overall exposure, including evaluation efficacy adopting a hard-peg on such exposure. Our sample consists 158 firms spans 16 year period, 1990–2005. A multivariate model using four bilateral rates is used determine firm level while panel data analysis random-effects Generalized Least Squares (GLS) system-wide or aggregate find total 71% our...

There is a critical gap in the literature studying portfolio diversification opportunities available to sukuk investors and evaluating these light of held-to-maturity strategies usually adopted by investors. This article has made an initial attempt study for portfolios across heterogeneous investment horizons. Our findings critically indicate that returns between local currency different markets generally have low levels correlations investor holding periods, thus enabling both short...

Abstract Muslim countries of the developing world suffer indebtedness resulting mostly from funding development infrastructure. Faced with a dire need for infrastructure but inadequate resources to fund them domestically, these governments often resort foreign borrowing. As neither banks nor international debt markets would allow be in home currency, is invariably denominated currency. For borrowing country, addition currency exposure such increases country's leverage and economic...

Islamic Banking and Finance (IBF) has had forty years of impressive growth, yet, within the Muslim world, there is a paradox huge accumulated wealth seriously underdeveloped financial markets. This paper examines whether over its 40-year existence, IBF lived up to anticipated goals objectives. It argues that growth been patchy with gaps, missing links missed opportunities. progressed not through innovation but imitation. Having replicated conventional banking capital market products,...