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Mansur Masih - One of the best experts on this subject based on the ideXlab platform.
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Cross-country evidence of Islamic Portfolio Diversification: are there opportunities in Saudi Arabia?
Managerial Finance, 2019Co-Authors: Akther Uddin, Mohammad Ashraful Ferdous Chowdhury, Mansur MasihAbstract:On the backdrop of growing importance of Shariah compliant equity markets, the purpose of this paper is to study cross-country Portfolio Diversification benefits for investors with major trading partners of Saudi Arabia, namely, USA, China, Japan, Germany and India, who have already invested or tend to invest in Saudi Arabian stock market.,The authors have investigated time invariant, dynamic correlations at different investments horizons of the investors among Islamic asset classes by applying relevant econometric techniques like multivariate generalized autoregressive conditional heteroscedastic –DCC and continuous wavelet transforms. For robustness, this study also applied maximal overlap discrete wavelet transform.,The findings tend to indicate that the Saudi Arabian investors have Portfolio Diversification benefits with all major trading partners in the short-term investment horizon. Interestingly, Saudi Arabian market has the least Portfolio Diversification benefits with the Chinese market. However, in the long run, all markets are correlated, yielding minimum Portfolio Diversification benefits and most importantly Saudi Arabian investors have Portfolio Diversification benefits with the Indian Islamic equity market in almost all investment horizons. The findings are highly consistent across different econometric technique estimations.,The authors are only considering five major trading partners of Saudi Arabia. Also, the authors are using S&P and FTSE shari’ah index. Moreover, the time period of the study is constrained by the availability of shari’ah indices. Econometric limitations are also well documented in the literature.,The results could be beneficial for the investors, Portfolio managers, hedge fund managers and institutional investors and also could be useful for the policy makers in their policy-making decisions.,Only very few studies have looked into the benefits of international Portfolio Diversification from the perspective of local investors as well as the Portfolio Diversification benefits with the major trading partners of Saudi Arabia. One of the novelties of the method is to make the stock investors, practitioners and policy makers aware of the Portfolio Diversification benefits available at different time scales such as 4, 8, 16, 32, 64 and 256 trading days as investment holding periods to unveil the true dynamics of co-movement between those different assets.
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Investigating International Portfolio Diversification Opportunities for the Asian Islamic Stock Market Investors
Management of Islamic Finance: Principle Practice and Performance, 2018Co-Authors: Ramazan Yildirim, Mansur MasihAbstract:The purpose of this paper is to analyze the possible Portfolio Diversification opportunities between Asian Islamic market and other regions’ Islamic markets; namely USA, Europe and BRIC. This study makes the initial attempt to fill in the gaps of previous studies by focusing on the proxies of global Islamic markets to identify the correlations among those selected markets by employing the recent econometric methodologies such as multivariate generalized autoregressive conditional heteroscedastic-dynamic conditional correlations (MGARCH–DCC), maximum overlap discrete wavelet transform (MODWT), and the continuous wavelet transform (CWT). By utilizing the MGARCH-DCC, this chapter tries to identify the strength of the time-varying correlation among the markets. However, to see the time-scale dependent nature of these mentioned correlations, the authors utilized CWT. For robustness, the authors have applied MODWT methodology as well. The findings tend to indicate that the Asian investors have better Portfolio Diversification opportunities with the US markets followed by the European markets. BRIC markets do not offer any Portfolio Diversification benefits, which may be explained partly by the fact that the Asian markets cover partially the same countries of BRIC markets, namely India and China. Considering the time horizon dimension, the results narrow down the Portfolio Diversification opportunities only to the short-term investment horizons. The very short-run investors (up to eight days only) can benefit through Portfolio Diversification, especially in the US and European markets. The above-mentioned results have policy implications for the Asian Islamic investors (e.g. Portfolio Management, Strategic Investment Management).
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Does a Held-to-Maturity Strategy Impede Effective Portfolio Diversification for Islamic Bond () Portfolios? A Multi-Scale Continuous Wavelet Correlation Analysis
Emerging Markets Finance and Trade, 2016Co-Authors: Syed Faiq Najeeb, Obiyathulla Ismath Bacha, Mansur MasihAbstract: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.
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Evidence of cross-country Portfolio Diversification benefits: The case of Saudi Arabia
2016Co-Authors: Mansur MasihAbstract:Recent literature draw attention to the issue whether the time-varying correlation and the heterogeneity in investment horizons has an effect on investor’s return. Earlier studies investigated the interdependence of Saudi Arabian Stock market with its major trading partners without taking care of the time-varying correlation and different investments horizons of the investors. We make the initial attempt to study the extent to which investors can benefit from Portfolio Diversification with the Shariah indices of the major trading partners (United States, China, Japan, Germane, India), using Saudi Arabia as a case study where investors recently suffered due to downward trend of oil price. In order to investigate that, the pertinent timevarying and time horizon techniques like, Multivariate GARCH-DCC, the continuous wavelet transform (CWT) and the maximal overlap discrete wavelet transform (MODWT) are applied. Our findings tend to indicate that the Saudi Arabian investors have Portfolio Diversification benefits with all major trading partners in the short investment horizon, However in the long run, all markets are correlated yielding minimum Portfolio Diversification benefits and more importantly Saudi Arabian Investors have Portfolio Diversification benefits with Indian Islamic equity market in almost all investment horizons.
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Portfolio Diversification benefits of islamic investors with their major trading partners evidence from malaysia based on mgarch dcc and wavelet approaches
Economic Modelling, 2016Co-Authors: Adam Mohamed Rahim, Mansur MasihAbstract:Previous studies have investigated the interdependence of Malaysian stock market with its major trading partners without taking into account the time-varying correlations and different investment horizons of the investors. The main objective of this paper is to make the initial attempt to study the extent to which the Malaysian Shari'ah (Islamic) investors can benefit from Portfolio Diversification with the Shari'ah indices of their major trading partners (China, Singapore, Japan, United States and Thailand). The relevant time-varying and timescale-dependent techniques such as, Multivariate GARCH-dynamic conditional correlation, the continuous wavelet transform and the maximal overlap discrete wavelet transform are applied. Findings tend to indicate that the Malaysian Shari'ah investors who make their investments with the major trading partners like China and Singapore may not reap great Diversification benefits for almost all investment horizons but may reap moderate benefits arising from Thailand and Japan up to the investment horizons of 32–64days and longer. The evidence further suggests that the Portfolio Diversification benefits are greater if the Malaysian Shari'ah investors invest in the US Shari'ah stock index excepting the long investment horizons. The stock holding periods exceeding 32 to 64days contain minimal benefits of Portfolio Diversification. As a policy implication, the Malaysian Shari'ah investors should carry out the reassessment of their stock exposures and investment horizons more frequently in order to gain from Portfolio Diversification with their trading partners.
Roberto Mura - One of the best experts on this subject based on the ideXlab platform.
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owners Portfolio Diversification and firm investment
Review of Financial Studies, 2019Co-Authors: Evgeny Lyandres, Mariateresa Marchica, Roni Michaely, Roberto MuraAbstract:Portfolio Diversification of firms’ controlling owners influences their firms’ capital investment. Empirically, the effect of owners’ Portfolio Diversification on their firms’ investment levels is positive for publicly traded firms and tends to be negative for privately held ones. These findings are consistent with predictions of a model in which a risk-averse investor simultaneously chooses her Portfolio structure, and both the level and riskiness of capital investment of the firm she controls, and in which the firm can be potentially constrained in its capital investment choices. Overall, our results indicate that owners’ Portfolio underDiversification and firms’ financial constraints can affect firms’ resource allocation.Received May 3, 2017; editorial decision March 8, 2019 by Editor Francesca Cornelli. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
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Owners' Portfolio Diversification and Firm Investment: Theory and Evidence from Private and Public Firms
SSRN Electronic Journal, 2015Co-Authors: Evgeny Lyandres, Mariateresa Marchica, Roni Michaely, Roberto MuraAbstract:Portfolio Diversification of firms' controlling owners influences their firms' capital investment. Empirically, the effect of owners' Portfolio Diversification on their firms' investment levels is positive for publicly-traded firms and tends to be negative for privately-held ones. These findings are consistent with predictions of a model in which a risk-averse investor simultaneously chooses her Portfolio structure, and the level and riskiness of capital investment of the firm she controls, and in which the firm can be potentially constrained in its capital investment choices. Overall, our results indicate that owners' Portfolio underDiversification and firms' financial constraints can impact firms' resource allocation.
Evgeny Lyandres - One of the best experts on this subject based on the ideXlab platform.
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owners Portfolio Diversification and firm investment
Review of Financial Studies, 2019Co-Authors: Evgeny Lyandres, Mariateresa Marchica, Roni Michaely, Roberto MuraAbstract:Portfolio Diversification of firms’ controlling owners influences their firms’ capital investment. Empirically, the effect of owners’ Portfolio Diversification on their firms’ investment levels is positive for publicly traded firms and tends to be negative for privately held ones. These findings are consistent with predictions of a model in which a risk-averse investor simultaneously chooses her Portfolio structure, and both the level and riskiness of capital investment of the firm she controls, and in which the firm can be potentially constrained in its capital investment choices. Overall, our results indicate that owners’ Portfolio underDiversification and firms’ financial constraints can affect firms’ resource allocation.Received May 3, 2017; editorial decision March 8, 2019 by Editor Francesca Cornelli. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
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Owners' Portfolio Diversification and Firm Investment: Theory and Evidence from Private and Public Firms
SSRN Electronic Journal, 2015Co-Authors: Evgeny Lyandres, Mariateresa Marchica, Roni Michaely, Roberto MuraAbstract:Portfolio Diversification of firms' controlling owners influences their firms' capital investment. Empirically, the effect of owners' Portfolio Diversification on their firms' investment levels is positive for publicly-traded firms and tends to be negative for privately-held ones. These findings are consistent with predictions of a model in which a risk-averse investor simultaneously chooses her Portfolio structure, and the level and riskiness of capital investment of the firm she controls, and in which the firm can be potentially constrained in its capital investment choices. Overall, our results indicate that owners' Portfolio underDiversification and firms' financial constraints can impact firms' resource allocation.
Syed Faiq Najeeb - One of the best experts on this subject based on the ideXlab platform.
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Does a Held-to-Maturity Strategy Impede Effective Portfolio Diversification for Islamic Bond () Portfolios? A Multi-Scale Continuous Wavelet Correlation Analysis
Emerging Markets Finance and Trade, 2016Co-Authors: Syed Faiq Najeeb, Obiyathulla Ismath Bacha, Mansur MasihAbstract: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.
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does heterogeneity in investment horizons affect Portfolio Diversification some insights using m garch dcc and wavelet correlation analysis
Emerging Markets Finance and Trade, 2015Co-Authors: Syed Faiq Najeeb, Obiyathulla Ismath Bacha, Mansur MasihAbstract:ABSTRACTRecent literature draws attention to the issue of whether heterogeneity in investment horizons has an effect on resulting investor exposures. In this article, using Malaysia as a case study, we make the first attempt to examine comovement dynamics of Islamic equity returns to identify international Portfolio Diversification opportunities for investors having heterogeneous investment horizons. We use three recent and appropriate methodologies: M-GARCH-DCC, Continuous Wavelet Transforms (CWT), and Maximum Overlap Discrete Wavelet Transform (MODWT). The results significantly tend to indicate that effective Portfolio Diversification opportunities between our sample markets exist mainly for short holding periods while for longer investment horizons, where investor stockholding periods exceed one year, the markets appear to be mostly highly correlated yielding minimal Portfolio Diversification benefits. Overall, the results critically highlight the significance of heterogeneity in investment horizons an...
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Does a held-to-maturity strategy impede effective Portfolio Diversification for Islamic bond (sukuk) Portfolios? A multi-scale continuous wavelet correlation analysis
2014Co-Authors: Syed Faiq Najeeb, Obiyathulla Ismath Bacha, Mansur MasihAbstract:The Islamic bonds or sukuk market is one of the fastest growing segments of the nearly US$2trillion global Islamic finance industry. However, lack of trading in secondary sukuk markets is a peculiar feature in this sector and both institutional and retail sukuk investors are known to adopt a held-to-maturity investment strategy. Consequently, there is a critical gap in literature in studying the Portfolio Diversification opportunities available to sukuk investors and evaluating these in the light of held-to-maturity strategies. This paper (using recently available data and continuous wavelet transform methodologies) has made an initial attempt to study the Portfolio Diversification strategies for Islamic bond (sukuk) Portfolios across heterogeneous investment horizons using the Malaysian and the Gulf Cooperation Council (GCC) sukuk markets as a case study. Our findings critically indicate that returns between local currency sukuk in different markets have low levels of long-term correlations, thus enabling Portfolio Diversification benefits. However, international currency sukuk issued in different markets exhibit high levels of long-term correlations which impede Portfolio Diversification benefits for held-to-maturity investments. A similar impediment is also witnessed in the domestic market context where Diversification is intended by investing in different types of domestic sukuk. Overall, our findings critically highlight the feasibility of held-to-maturity sukuk investment strategies from a Portfolio Diversification perspective.
Roni Michaely - One of the best experts on this subject based on the ideXlab platform.
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owners Portfolio Diversification and firm investment
Review of Financial Studies, 2019Co-Authors: Evgeny Lyandres, Mariateresa Marchica, Roni Michaely, Roberto MuraAbstract:Portfolio Diversification of firms’ controlling owners influences their firms’ capital investment. Empirically, the effect of owners’ Portfolio Diversification on their firms’ investment levels is positive for publicly traded firms and tends to be negative for privately held ones. These findings are consistent with predictions of a model in which a risk-averse investor simultaneously chooses her Portfolio structure, and both the level and riskiness of capital investment of the firm she controls, and in which the firm can be potentially constrained in its capital investment choices. Overall, our results indicate that owners’ Portfolio underDiversification and firms’ financial constraints can affect firms’ resource allocation.Received May 3, 2017; editorial decision March 8, 2019 by Editor Francesca Cornelli. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
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Owners' Portfolio Diversification and Firm Investment: Theory and Evidence from Private and Public Firms
SSRN Electronic Journal, 2015Co-Authors: Evgeny Lyandres, Mariateresa Marchica, Roni Michaely, Roberto MuraAbstract:Portfolio Diversification of firms' controlling owners influences their firms' capital investment. Empirically, the effect of owners' Portfolio Diversification on their firms' investment levels is positive for publicly-traded firms and tends to be negative for privately-held ones. These findings are consistent with predictions of a model in which a risk-averse investor simultaneously chooses her Portfolio structure, and the level and riskiness of capital investment of the firm she controls, and in which the firm can be potentially constrained in its capital investment choices. Overall, our results indicate that owners' Portfolio underDiversification and firms' financial constraints can impact firms' resource allocation.