Do sin stocks deprive Islamic stock portfolios of diversification? some insights from the use of MGARCH-DCC

• Main Authors: Mustaffa Kamil, Nazrol Kamil, Bacha, Obiyathulla Ismath, Masih, Mansur
• Format: Conference or Workshop Item
• Language: English
• Published: 2012
• Subjects: HG3368 Islamic Banking and Finance; HG4501 Stocks, investment, speculation
• Online Access: http://irep.iium.edu.my/67447/1/MFA%20Conference%202012%20-%20Kamil%2C%20Bacha%20and%20Masih.pdf; http://irep.iium.edu.my/67447/; https://www.mfa.com.my/conference/previous-conference/

There is argument that Shari’ah compliant portfolios are at a disadvantage in terms of portfolio diversification given that the exclusion of “sin stocks” shrinks the Islamic investor’s investment universe. This paper investigates firstly, whether there is empirical evidence to substantiate such a cl...