Browsing by Author Kabir, Sarkar Humayun

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  • time_varying_correlation_between_islamic_equity_commodity_returns_implications_portfolio_diversification_mansur.pdf.jpg
  • Journal Article


  • Authors: Khan, Aftab Parvez; Kabir, Sarkar Humayun; R. Bashar, Omar K. M.; Mohammed Masih, Abul Mansur (2014)

  • This paper aims at investigating the time varying relationship between Islamic equity and commodity returns in order to examine how combination of Islamic equities and commodities contribute to the benefits of portfolio investors and managers. In order to investigate this relationship, we employed multivariate GARCH method on return series of five different commodity groups (energy, precious metals, agricultural, non-ferrous metals and softs group), Dow Jones spot commodity index as a proxy of an aggregate commodity market and Dow Jones Islamic index over the period January 3, 2001 - March 28, 2013. Our findings show that correlations between commodity and Islamic stock markets’ retur...

Browsing by Author Kabir, Sarkar Humayun

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 5 to 5 of 5
  • time_varying_correlation_between_islamic_equity_commodity_returns_implications_portfolio_diversification_mansur.pdf.jpg
  • Journal Article


  • Authors: Khan, Aftab Parvez; Kabir, Sarkar Humayun; R. Bashar, Omar K. M.; Mohammed Masih, Abul Mansur (2014)

  • This paper aims at investigating the time varying relationship between Islamic equity and commodity returns in order to examine how combination of Islamic equities and commodities contribute to the benefits of portfolio investors and managers. In order to investigate this relationship, we employed multivariate GARCH method on return series of five different commodity groups (energy, precious metals, agricultural, non-ferrous metals and softs group), Dow Jones spot commodity index as a proxy of an aggregate commodity market and Dow Jones Islamic index over the period January 3, 2001 - March 28, 2013. Our findings show that correlations between commodity and Islamic stock markets’ retur...