دانلود مقاله ISI انگلیسی شماره 83355
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
83355 2017 29 صفحه PDF سفارش دهید 9576 کلمه
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پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Hidden cointegration reveals hidden values in Islamic investments
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of International Financial Markets, Institutions and Money, Volume 46, January 2017, Pages 70-83

پیش نمایش مقاله
پیش نمایش مقاله

چکیده انگلیسی

We explore long-run relationships between Islamic and conventional equity indices for the period 2000–2014. We adopt a hidden co-integration technique to decompose the series into positive and negative components; thus allowing the investigation of the indices during upward and downward markets. We find evidence of bi-directional dynamics during upward, downward and some mixed market movements. However, after adding control variables to our models, only the relationship for the negative components retains its significance; indicating that the Islamic index is the least responsive during bad times. This highlights the robust nature of Islamic investments and a possible differentiated investor reaction to financial information during market downtrends. Implications for practitioners are highlighted in a case study.

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