Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?
Mehmet Balcilar; Charl Jooste; Shawkat Hammoudeh; Rangan Gupta; Vassilios Babalos;
- Subject: Islamic and conventional finance, time-varying cointegration | Islamic and conventional finance; time-varying cointegration;
- jel: jel:C12 | jel:G1 | jel:C5
We compare nonlinear cointegration tests with the standard cointegration tests in studying the relationship of the Dow Jones Islamic finance index with three other conventional equity market indices. Our results show that there is a long-run nonlinear cointegrating rela... View more