Does Islamic investment help the Chinese investors? Evidence from China based MGARCH-DCC approach /
This study investigates the extent to which Chinese equity investors can benefit from diversifying their portfolio into Shariah-compliant (Islamic) indices in China. It examines three Chinese Islamic stock indices and ten sectorial indices as a sample. The multivariate GARCH-dynamic conditional corr...
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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
Kuala Lumpur :
IIUM Institute of Islamic Banking and Finance, International Islamic University Malaysia,
2018
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| Subjects: | |
| Online Access: | Click here to view 1st 24 pages of the thesis. Members can view fulltext at the specified PCs in the library. |
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| Summary: | This study investigates the extent to which Chinese equity investors can benefit from diversifying their portfolio into Shariah-compliant (Islamic) indices in China. It examines three Chinese Islamic stock indices and ten sectorial indices as a sample. The multivariate GARCH-dynamic conditional correlation is deployed to estimate the time-varying linkages of returns of the selected indices, covering approximately eight years daily data starting from 28 August 2009 to 29 September 2017. The results indicate that Chinese conventional equity investors would benefit from Islamic stock indices, especially when they include DJ Islamic Greater China in their portfolio. Conventional investors who invest predominantly in the conventional sectors of health care, consumer staples and information technology are set to benefit most from diversifying their portfolios in Islamic stock indices because of the weak correlations of returns. Generally, this research's empirical findings provide useful insights for Chinese policymakers into formulating new economic stabilization policies to further promote the development of Shariah-compliant capital market in China, and then promote the development of Chinese economy. |
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| Physical Description: | xii, 90 leaves : colour illustrations ; 30cm. |
| Bibliography: | Includes bibliographical references (leaves 67-72). |