Browsing by Author Abdullah, Ahmad Monir

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  • diversification_in_crude_oil_and_other_commodities_ahmad_monir_abul_mansur.pdf.jpg
  • Journal Article


  • Authors: Abdullah, Ahmad Monir; Mohammed Masih, Abul Mansur (2016)

  • This paper is an humble attempt to add value to the existing literature by empirically testing the "time-varying" and "scale dependent" volatilities of and correlations of the sample commodities. Particularly, by incorporating scale dependence, it is able to identify unique portfolio diversification opportunities for different set of investors bearing different investment horizons or holding periods. In order to address the research objectives, we have applied the vector error-correction test and several recently introduced econometric techniques such as the Maximum Overlap Discrete Wavelet Transform (MODWT), Continuous Wavelet Transform (CWT) and Multivariate GARCH - Dynamic Conditio...

  • impact_of_crude_oil_price_on_Islamic_stock_indices_monir_buerhan_mansur.pdf.jpg
  • Journal Article


  • Authors: Abdullah, Ahmad Monir; Saiti, Buerhan; Mohammed Masih, Abul Mansur (2016)

  • This paper is the first attempt at testing the "time-varying" and "time-scale dependent" volatilities of and correlations between the selected Islamic stock indices of South East Asian countries and selected commodities for enhancing portfolio diversification benefits. Consistent with the results of our VECM, our analysis based on the application of the recent wavelet technique MODWT, indicates that the Singapore Islamic index is leading the other Islamic indices and the commodities. From the point of view of portfolio diversification benefits, based on the extent of dynamic correlations between variables, our results suggest that an investor should be aware that the Philippine Islami...

Browsing by Author Abdullah, Ahmad Monir

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 1 to 2 of 2
  • diversification_in_crude_oil_and_other_commodities_ahmad_monir_abul_mansur.pdf.jpg
  • Journal Article


  • Authors: Abdullah, Ahmad Monir; Mohammed Masih, Abul Mansur (2016)

  • This paper is an humble attempt to add value to the existing literature by empirically testing the "time-varying" and "scale dependent" volatilities of and correlations of the sample commodities. Particularly, by incorporating scale dependence, it is able to identify unique portfolio diversification opportunities for different set of investors bearing different investment horizons or holding periods. In order to address the research objectives, we have applied the vector error-correction test and several recently introduced econometric techniques such as the Maximum Overlap Discrete Wavelet Transform (MODWT), Continuous Wavelet Transform (CWT) and Multivariate GARCH - Dynamic Conditio...

  • impact_of_crude_oil_price_on_Islamic_stock_indices_monir_buerhan_mansur.pdf.jpg
  • Journal Article


  • Authors: Abdullah, Ahmad Monir; Saiti, Buerhan; Mohammed Masih, Abul Mansur (2016)

  • This paper is the first attempt at testing the "time-varying" and "time-scale dependent" volatilities of and correlations between the selected Islamic stock indices of South East Asian countries and selected commodities for enhancing portfolio diversification benefits. Consistent with the results of our VECM, our analysis based on the application of the recent wavelet technique MODWT, indicates that the Singapore Islamic index is leading the other Islamic indices and the commodities. From the point of view of portfolio diversification benefits, based on the extent of dynamic correlations between variables, our results suggest that an investor should be aware that the Philippine Islami...