Publication:
Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity
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Date
2016-05-10
SDG:
Abstract
This paper is the first attempt to investigate the multiscale tendency of the co-movement and cross-correlation of nine Islamic Exchange Traded Fund (ETF) returns across the global developed and emerging markets using both wavelet coherence and wavelet MODWT methods. The wavelet coherence results tend to indicate consistent co movement between most of the ETF returns especially in the long run. The study also uncovers evidence of wide variation of co-movement across the time-scales during the global financial crisis and the Euro debt crisis. Strong co-movement can be observed during the global financialcrisis, both for the medium term investors and long term investors. The paper studies the relationship between different ETF returns using wavelet multi-resolution analysis. The cross-correlation analysis also shows certain significant and positive correlations between the ETF returns, especially during the period of global financial crisis. The findings from these two recent dynamic time-scale decomposition methodologies have important policy implications for both risk management and investors’ investment policy.
Keywords
Islamic exchange traded funds returns , Wavelet coherence , MODWT
Citation
Farouk, Faizal and Mohammed Masih, Abul Mansur. (2016). Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity. Research in International Business and Finance, 38, pp. 360-375.
Publisher
Elsevier