Exploring Efficiency, Co-integration, Causality and Volatility Clustering in Unrestricted and Islamic Portfolios

Salman Ahmed Shaikh, Muhammad Hakimi Mohd. Shafiai, Abdul Ghafar Ismail, Mohd. Adib Ismail
  • January 2016, Springer Science + Business Media
  • DOI: 10.1007/978-3-319-33991-7_6

What is it about?

The paper explores risk ad return performance, efficiency of and co-movement between Islamic and unrestricted portfolios in developed and emerging markets.

Why is it important?

Unlike unrestricted portfolios, Islamic portfolios have a narrow opportunity set for investment. They also face trading restrictions due to the prohibition of futures, short selling, options and day trading which can potentially create significant limits to arbitrage. This research explores comparative performance, efficiency and co-movement of Islamic and unrestricted portfolios.

Perspectives

Dr Salman Ahmed Shaikh
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology

This paper helps in looking at Islamic and unrestricted portfolios comparatively with regards to risk and return performance during the crisis and non-crisis period and also in developed and emerging markets.

Read Publication

http://dx.doi.org/10.1007/978-3-319-33991-7_6

The following have contributed to this page: Professor Abdul Ghafar Ismail and Dr Salman Ahmed Shaikh