From dotcom to Covid-19: A convergence analysis of Islamic investments
Autor: | Vasileios Pappas, Dimitris Kenourgios, Christos Alexakis, Athina Petropoulou |
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Přispěvatelé: | Rennes School of Business, National and Kapodistrian University of Athens (NKUA), Kent Business School, University of Kent, SOAS, University of London |
Rok vydání: | 2021 |
Předmět: |
Islamic finance
Economics and Econometrics Contagion Diversification (finance) Dynamic correlation Monetary economics HG Crisis 0502 economics and business Business sector Economics 050207 economics Robustness (economics) [QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN] 050208 finance 05 social sciences Convergence (economics) Islam Basis point Financial crisis Economy sectors Difference-in-difference Volatility (finance) Convergence Portfolio Finance |
Zdroj: | Journal of International Financial Markets, Institutions and Money Journal of International Financial Markets, Institutions and Money, Elsevier, 2021, pp.101423. ⟨10.1016/j.intfin.2021.101423⟩ |
ISSN: | 1042-4431 |
DOI: | 10.1016/j.intfin.2021.101423 |
Popis: | International audience; This paper goes beyond the extant comparisons of Islamic and conventional investments by econometrically assessing their convergence dynamics, in a dataset spanning over 1996-2020, covering ten business sectors and five episodes of crisis. We use a dynamic multivariate framework to estimate time-varying correlations, which we submit to beta and sigma-convergence analysis. Subsequently we examine how convergence dynamics affect portfolio risk management and crisis propagation. Our results show strong convergence of Islamic and conventional investments. During crises conventional convergence rates double, but Islamic ones are less affected. Sectoral diversification works best for conventional investments; Islamic ones behave as a single entity. On average we document a 7% risk diversification benefit from Islamic investments, at a 64 basis points cost. Yet, at the epicentre of the Covid-19 financial crisis this rises to 466 basis points and highlights the resilience of these investments in an exogenous event. Islamic investments reduce volatility spillovers in the financial system, but they are progressively less insulated across time. Our findings withstand a battery of robustness checks and are primarily useful to policy makers and investors. |
Databáze: | OpenAIRE |
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