Reevaluating the risk minimization utility of Islamic stocks and bonds (Sukuk) in international financial markets

• Main Authors: Sifat, Imtiaz, Mohamad, Azhar, Zhang, Hengchao, Molyneux, Philip
• Format: Article
• Language: English
• Published: Routledge Taylor & Francis Group 2022
• Subjects: HB131 Methodology.Mathematical economics. Quantitative methods; HG3368 Islamic Banking and Finance
• Online Access: http://irep.iium.edu.my/96692/7/96692_Reevaluating%20the%20risk%20minimization%20utility.pdf; http://irep.iium.edu.my/96692/; https://www.tandfonline.com/loi/rejf20; https://doi.org/10.1080/1351847X.2022.2032242
• Institution: Universiti Islam Antarabangsa Malaysia

We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against traditional global counterparts. We first employ an asymmetric power ARCH-based ADCC model on an extended dataset employed by Kenourgios et al. (2016). Our sample ranges from July 20...