Unveiling the diversification benefits of Islamic equities and commodities: evidence from multivariate-GARCH and continuous wavelet analysis

• Main Authors: Prima Sakti, Muhammad Rizky, Masih, Mansur, Saiti, Buerhan, Tareq, Mohammad Ali
• Format: Article
• Published: Emerald Publishing Limited 2018
• Subjects: T Technology (General)
• Online Access: http://eprints.utm.my/id/eprint/84088/; http://dx.doi.org/10.1108/MF-08-2017-0278

Purpose: This study examines the extent to which the Indonesian Shariah compliant investors can benefits from the portfolio diversification with the Islamic indices of its trading partners and selected commodities such as gold, crude oil, and cocoa. Methodology: We use daily time series data coverin...