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- W2120421645 abstract "There is a critical gap in the literature in studying the portfolio diversification opportunities available to sukuk investors and evaluating these in light of held-to-maturity strategies usually adopted by these investors. This article has made an initial attempt to study the portfolio diversification strategies for sukuk portfolios across heterogeneous investment horizons. Our findings critically indicate that returns between local currency sukuk in different markets generally have low levels of correlations across different investor holding periods, thus enabling both short and long-run portfolio diversification benefits. However, in contrast, international currency sukuk issued in different markets exhibits high levels of correlations in the longer-term investor holding periods. Also, in the domestic market context, returns on different classes of domestic sukuk are found to exhibit strong correlations in the longer-holding periods. Our findings critically highlight the feasibility of held-to-maturity sukuk investment strategies from a portfolio diversification perspective." @default.
- W2120421645 created "2016-06-24" @default.
- W2120421645 creator A5016820608 @default.
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- W2120421645 date "2016-11-08" @default.
- W2120421645 modified "2023-10-03" @default.
- W2120421645 title "Does a Held-to-Maturity Strategy Impede Effective Portfolio Diversification for Islamic Bond (<i>Sukuk</i>) Portfolios? A Multi-Scale Continuous Wavelet Correlation Analysis" @default.
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- W2120421645 doi "https://doi.org/10.1080/1540496x.2016.1205977" @default.
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