Portfolio Diversification Benefits during the COVID-19 Crisis in USA: Islamic/Conventional Stock Markets
| المصدر: | المجلة العلمية للدراسات التجارية والبيئية |
|---|---|
| الناشر: | جامعة قناة السويس - كلية التجارة بالاسماعيلية |
| المؤلف الرئيسي: | Farid, Heba (Author) |
| المجلد/العدد: | مج13, ع3 |
| محكمة: | نعم |
| الدولة: |
مصر |
| التاريخ الميلادي: |
2022
|
| الشهر: | يوليو |
| الصفحات: | 1139 - 1163 |
| DOI: |
10.21608/jces.2022.267656 |
| ISSN: |
2090-3782 |
| رقم MD: | 1336258 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
COVID-19 | Diversification Benefits | Trading Partners | M-GARCH
|
| رابط المحتوى: |
| المستخلص: |
This paper investigates the portfolio diversification benefits for Islamic and conventional investors in the United States with its major trading partners (United Kingdom, Canada, China, Japan, Malaysia, and Turkey) before and during the COVID-19 crisis period. Using daily data from 2007 to 2020, we employ four relevant time-varying and timescale dependent techniques: the dynamic conditional correlation (DCCGARCH) model, The findings suggest that conventional and Islamic U.S. investors who invest with major trading partners may reap large diversification benefits for short investment horizons. |
|---|---|
| ISSN: |
2090-3782 |
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