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- W3144707139 abstract "This paper investigates the links between price returns for seven commodities and Shariah-compliant equities (developed and emerging markets) over the period from January 1996 to April 2013. Employing the dynamic conditional correlation (DCC) M-GARCH methodology, we show that the correlations between commodity and stock markets evolve over time and are highly volatile, particularly during the financial crisis, which has played a key role, emphasizing the increased integration between commodity and stock markets, and underlining the financialization of commodity markets. However, in the last couple of years the correlation between commodities and equities seems to be decaying. Hence, Islamic investors hopefully could gain from the diversification benefits by the inclusion of commodities into their portfolios." @default.
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- W3144707139 date "2013-01-01" @default.
- W3144707139 modified "2023-09-26" @default.
- W3144707139 title "Should Shariah-compliant investors include commodities in their portfolios? New evidence" @default.
- W3144707139 hasPublicationYear "2013" @default.
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