Hidden cointegration reveals hidden values in Islamic investments

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• 作者：Christos Alexakis^a ; ^{christos.alexakis@esc-rennes.com} ; Vasileios Pappas^b ; ^{v.pappas@bath.ac.uk} ; Alexandros Tsikouras^c ; ^{alextsikouras@yahoo.com}
• 关键词：Islamic equity index ; Hidden co-integration ; Portfolio optimisation ; Dow Jones
• 刊名：Journal of International Financial Markets, Institutions and Money
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：46
• 期：Complete
• 页码：70-83
• 全文大小：474 K
• 卷排序：46

文摘

We employ hidden cointegration for Islamic and conventional stock market indices. Cointegration dynamics are different for the positive, negative and cross price components. Investors may decode information differently in positive and negative markets. An Islamic Index offers risk reduction especially in negative markets.