Portfolio diversification benefits during the COVID-19 crisis in USA: Islamic/conventional stock markets | ||||
| المجلة العلمية للدراسات التجارية والبيئية | ||||
| Article 25, Volume 13, Issue 3, July 2022, Page 1139-1163 PDF (383.17 K) | ||||
| Document Type: المقالة الأصلية | ||||
| DOI: 10.21608/jces.2022.267656 | ||||
 View on SCiNiTO | ||||
| Author | ||||
| Heba Farid* | ||||
| Arab Academy for Science, Technology and Maritime Transport | ||||
| Abstract | ||||
| Abstract: This paper investigates the portfolio diversification benefits for Islamic and conventional investors in the United States with its major trading partners (United Kingdom, Canada, China, Japan, Malaysia, and Turkey) before and during the COVID-19 crisis period. Using daily data from 2007 to 2020, we employ four relevant time-varying and timescale-dependent techniques: the dynamic conditional correlation (DCCGARCH) model, The findings suggest that conventional and Islamic U.S. investors who invest with major trading partners may reap large diversification benefits for short investment horizons. | ||||
| Keywords | ||||
| COVID-19; Diversification benefits; Trading partners; M-GARCH | ||||
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