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• W2279661805 abstract "This study analyses the dynamic spillovers across ten Dow Jones Islamic-conventional sector index pairs. Using various multivariate GARCH models, the results show significant time-varying conditional correlations among all the pairs. Moreover, there is evidence that the conditional correlations among all the sector pairs, except those of the Telecommunication and Utilities sectors, increase after the onset of the global financial crisis, suggesting non-subsiding risks, contagion effects and gradual financial linkages. The Islamic sectors? risk exposure can be effectively hedged over time in portfolios containing conventional sector stocks. These results provide several practical implications for portfolio managers and policymakers in regard to optimal asset allocations, portfolio risk management and the diversification benefits among these markets." @default.
• W2279661805 created "2016-06-24" @default.
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• W2279661805 date "2015-11-01" @default.
• W2279661805 modified "2023-09-27" @default.
• W2279661805 title "Dynamic Correlations and Portfolio Diversification between Islamic and Conventional Sector Equity Indexes" @default.
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• W2279661805 hasPublicationYear "2015" @default.
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