Shariah stocks as an inflation hedge in Malaysia

Haniff, Norazza Mohd and Masih, Mansur (2016): Shariah stocks as an inflation hedge in Malaysia.

Abstract

The purpose of this paper is to study the hedging effectiveness of Shariah (Islamic) stock returns against inflation over the post financial crisis period in Malaysia using wavelet analysis. By using wavelet tools such as wavelet coherence and the wavelet phase angle, the resulting analyses were able to measure cross-correlations and causality between the time series as a function of time-scales. Results tend to indicate that for investment horizons not exceeding 3 years, the FTSE Bursa Malaysia Emas Shariah Index constituent returns can provide hedging against inflation as real returns are largely uncorrelated with inflation.

• Item Type: MPRA Paper
• Language: English
• Keywords: Shariah (Islamic) stocks, inflation hedge, Malaysia, wavelets
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions

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