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, Mohammed Masih, Abul Mansur
• Format: Article
• Language: English
• Published: Malaysian Finance Association (MFA) 2012
• Subjects: HF5410 Marketing. Distribution of products; HF5469 Markets. Fairs
• Online Access: http://irep.iium.edu.my/71744/1/71744_Do%20Sin%20Stocks%20Deprive%20Islamic%20Stock%20Portfolios.pdf; http://irep.iium.edu.my/71744/; https://www.mfa.com.my/wp-content/uploads/2013/12/CMR-Vol-20-Paper-3-2012.pdf

There is this 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 first, whether there is empirical evidence to substantiate suc...