کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1003027 1481795 2016 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity
ترجمه فارسی عنوان
آیا سود (بازده) در تبادل وجوه معامله سازگار با شریعت وجود دارد؟ گرایش چند مقیاسی
کلمات کلیدی
بازده صندوق ارز اسلامی معامله شده ؛ انسجام موجک
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی


• Initial attempt to analyse multi-scale co-movement and cross-correlations of Islamic ETF returns.
• Sample includes 9 ETF markets including country specific Islamic ETF variables.
• We use wavelet coherence and MODWT to perform multi-horizon analysis.
• US and Eurozone crises reveal fundamental-based contagion on Islamic ETF returns.
• No significant contagion impact of Eurozone crisis on country specific Islamic ETFs.

This paper is the first attempt to investigate the multiscale tendency of the co-movement and cross-correlation of nine Islamic Exchange Traded Fund (ETF) returns across the global developed and emerging markets using both wavelet coherence and wavelet MODWT methods. The wavelet coherence results tend to indicate consistent co-movement between most of the ETF returns especially in the long run. The study also uncovers evidence of wide variation of co-movement across the time-scales during the global financial crisis and the Euro debt crisis. Strong co-movement can be observed during the global financial crisis, both for the medium term investors and long term investors. The paper studies the relationship between different ETF returns using wavelet multi-resolution analysis. The cross-correlation analysis also shows certain significant and positive correlations between the ETF returns, especially during the period of global financial crisis. The findings from these two recent dynamic time-scale decomposition methodologies have important policy implications for both risk management and investors’ investment policy.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 38, September 2016, Pages 360–375
نویسندگان
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