Portfolio Diversification Benefits of Malaysia’s Stock Indices with Commodities: An Analysis Based on the MGARCH-DCC and Wavelet Techniques
2022-10-07
This research examined the potential for diversifying Malaysian Islamic and conventional stock indexes with other commodities, such as crude oil, Bitcoin, and gold, with time-varying differences or investors’ varied investment horizons, which researchers had previously overlooked. Methods like the Multivariate GARCH-Dynamic Conditional Correlation (MGARCH-DCC) and the continuous wavelet transformation (CWT)Continue Reading