On the dynamic links between commodities and Islamic equity

Nagayev, Ruslan; Disli, Mustafa; Inghelbrecht, Koen; Ng, Adam

doi:10.1016/j.eneco.2016.06.011

Cited by 105 publications

(62 citation statements)

References 59 publications

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“…Nevertheless, the current trends in commodity markets have shown an increasing relationship between 831 Islamic equities and commodities equity and commodity returns. As a result, it would discourage investors to include commodities in their portfolio and hence minimize diversification opportunities (Nagayev et al, 2016).…”

Section: Resultsmentioning

confidence: 99%

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Nexus between risk sharing vs non-risk sharing financing and economic growth of Bangladesh

Chowdhury

Akbar²,

Shoyeb

2018

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and finally, Quoc Cuong Phan and Taha Bhatti for the excellent research assistance in managing some of the papers in this issue. 646 MF 44,6 regarding the effect of these two variables to risk exposure and efficacy of both Islamic and conventional banking systems. In order to add more value to current literature with reference to the differences between Islamic and conventional banking systems, Bougatef and Korbi aimed to study the factors that explain intermediation margins under both Islamic and conventional banks operating in the Middle East and North Africa. By using the dynamic panel modeling approach, they revealed different determinants of net profit margins under these two systems. Utilizing various methodologies including Markowitz's (1952) portfolio optimization, visual data representations and the classic Fama-Macbeth (1973) two-pass procedure regressions, Cheong investigated the ability of the Islamic Gold Dinar to hedge against foreign exchange market volatility. His findings documented a new hedging instrument to diversify investors' currency portfolios. In the later article, Chowdhury, Akbar and Mohammad examined the relationship between Islamic financing principles and economic growth in Bangladesh using auto regressive distributive lags. Having considered all annual reports of Islamic banks in Bangladesh, this group of authors shed light on how the economic growth responds to the risk sharing and non-risk sharing instruments. In the wake of the GFC, predicting financial distress in banking systems has been increasingly more critical in order to prevent future economic downturns. In their paper, Halteh and his co-authors; Kumar and Gepp aimed to forecast the failure by using cutting-edge stochastic models including decision trees, stochastic gradient boosting and random forests to study 101 international publicly listed Islamic banks. Their findings add value to the literature on the issue of Islamic banking and predicting financial distress. To examine the differences in investors' perceptions concerning the response to the issuance of Sukuk and conventional bonds, Hassan, Ahmed and Rayfield observed significantly negative abnormal returns before and after the announcement date of Sukuk issuance. By utilizing linear and logistic regression models, they found an interesting connection: first, between firms' characteristics and these abnormal returns; and second, issuers' preferences between issuing Sukuk and conventional bonds. Mahmood, Gan and Nguyen, by utilizing the two-step system GMM estimation technique on 55 full-fledged Islamic banks from 11 different countries, have analyzed various factors at both firm-specific and macroeconomic levels, in order to explore their impacts on maturity transformation risk. This paper makes an important contribution to studying maturity transformation risk which is considered one of the major causes of the global financial crisis. Md Zabri and Mohammed examined the acceptability of the Cash Waqf-financial cooperative-Musharakah Mutanaqisah (MM) home financing...

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Section: Resultsmentioning

confidence: 99%

“…The role of commodities as portfolio diversifier has been studied in the literature (Balcılar et al, 2015;Mensi et al, 2016;Nagayev et al, 2016). Balcılar et al (2015) discovered significant benefits from portfolio diversification attributable to Islamic equities sectors.…”

Section: Islamic Equities and Commoditiesmentioning

confidence: 99%

Nexus between risk sharing vs non-risk sharing financing and economic growth of Bangladesh

Chowdhury

Akbar²,

Shoyeb

2018

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“…In a different scenario, high volatility and the time-varying correlation between commodities and the Dow Jones Islamic market were analysed for the period January 1999-April 2015, in which the last two years of the sample showed that Islamic equity offered diversification advantages to its holders similar to those in the pre-crisis period. (Nagayev et al, 2016). However, different findings were revealed by comparing the Dow Jones Islamic financial market with other conventional indices, which suggest that investing in the former provides less of a cushion against extreme market volatility (Nasr et al, 2016).…”

Section: Islamic Equity Investmentmentioning

confidence: 96%

A Review of Islamic Investment Literature

Hassan

Aliyu

Paltrinieri

et al. 2018

J of App Econs and Policy

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This paper reviews the empirical literature on the contemporary issues of Islamic investments and highlights the future research directions. The growing literature during the last several years and the penetration of Islamic investments beyond the Muslim majority countries motivate us to review the empirical studies in the area. We therefore focus our literature review on mutual funds, sukuk and equity investments, analysing 81 articles from the most important journals dealing with the topic. The mixed findings in this area help the understanding of professionals not familiar with Islamic investment to identify the trends of the literature for important decisions. Our results have also important financial implications for asset managers willing to include Islamic financial instruments into a well-diversified portfolio.

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“…Spot returns are the main drivers of the variation in commodity returns over short-term horizons, whereas rolling returns (annualized average returns) are crucial factors that contribute to commodity excess returns over longer-term horizons (Nagayev et al 2016). The S&P GSCI is the first major investable commodity index.…”

Section: Data Descriptionmentioning

confidence: 99%

“…Among those few studies, Nagayev et al (2016) investigated the dynamic links between commodities and the Dow Jones Islamic Market (DJIM). They found that correlations between commodity markets and the Islamic Equity Index are time-varying and highly volatile throughout the period of study (January 1999-April 2015.…”

Section: Literature Reviewmentioning

confidence: 99%

Exploring the Dynamic Links between GCC Sukuk and Commodity Market Volatility

Naifar

2018

IJFS

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This study investigates the impact of commodity price volatility (including soft commodities, precious metals, industrial metals, and energy) on the dynamics of corporate sukuk returns. Using a sample of sukuk indices from Gulf Cooperation Council (GCC) countries, we study the dynamic conditional correlation using a multivariate generalized autoregressive conditional heteroskedasticity dynamic conditional correlation (GARCH-DCC) process. Empirical results show a time-varying negative correlation between GCC sukuk returns and commodity prices. In fact, a negative conditional correlation among assets of a given portfolio implies higher gain-to-risk ratios. An understanding of volatility and dynamic co-movements in financial and commodity markets is important for portfolio allocation and risk management practices.

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On the dynamic links between commodities and Islamic equity

Cited by 105 publications

References 59 publications

Nexus between risk sharing vs non-risk sharing financing and economic growth of Bangladesh

Nexus between risk sharing vs non-risk sharing financing and economic growth of Bangladesh

A Review of Islamic Investment Literature

Exploring the Dynamic Links between GCC Sukuk and Commodity Market Volatility

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