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Risk–Return Profiles of Islamic Equities and Commodity Portfolios in Different Market Conditions

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  • Sarkar Humayun Kabir
  • A. Mansur M. Masih
  • Obiyathulla Ismath Bacha

Abstract

Motivated by the recent phenomenal growth in Islamic finance and the financialization of commodities, this study makes an initial attempt to investigate the risk–return profiles of optimized portfolios combining (a) Islamic equities with commodities and (b) conventional equities with commodities during the crises and noncrises periods. The findings tend to indicate that Islamic equity–commodity portfolios provide relatively higher diversification benefits than the conventional equity–commodity portfolios during the 1997 Asian Financial Crisis triggered by the financial sector compared to the 2008 global financial crisis triggered by the real housing sector. The findings further suggest that except for a few cases, commodities in general and gold in particular improve diversification benefits.

Suggested Citation

  • Sarkar Humayun Kabir & A. Mansur M. Masih & Obiyathulla Ismath Bacha, 2017. "Risk–Return Profiles of Islamic Equities and Commodity Portfolios in Different Market Conditions," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(7), pages 1477-1500, July.
    • Handle: RePEc:mes:emfitr:v:53:y:2017:i:7:p:1477-1500
    DOI: 10.1080/1540496X.2016.1216843
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    Cited by:

    1. Łukasz Dopierała & Magdalena Mosionek-Schweda & Daria Ilczuk, 2020. "Does the Asset Allocation Policy Affect the Performance of Climate-Themed Funds? Empirical Evidence from the Scandinavian Mutual Funds Market," Sustainability, MDPI, vol. 12(2), pages 1-23, January.

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