Diversification benefits of Shari'ah compliant equity ETFs in emerging markets
Previous studies on the performance of Islamic finance and banking have been more comparative than experimental when it comes to the role and effect of Islamic (Shari'ah compliant) assets in a conventional setting. This paper investigates whether Shari'ah compliant exchange-traded funds (ETFs) have potential diversification benefits to a volatile portfolio of conventional investments in emerging markets. The results suggest that such assets not only improve the risk-adjusted returns of portfolios but also receive proportionally higher weight during crisis periods. Hence, institutional investors should consider the ‘religion effect’ when they manage their assets, given the evidence regarding the outperformance of Shari'ah compliant equity relative to their conventional peers.
The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.
Citation : Gad, S. and Andrikopoulos, P. (2019) Diversification benefits of Shari'ah compliant equity ETFs in emerging markets. Pacific-Basin Finance Journal, 53, pp. 133-144.
Research Group : FiBRe
Peer Reviewed : Yes