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Article

An Empirical Examination of the Dynamic Linkages of
Faith-Based Socially Responsible Investing

Akash Dania and D.K. Malhotra
The Journal of Wealth Management Summer 2013, 16 (1) 65-79; DOI: https://doi.org/10.3905/jwm.2013.16.1.065
Akash Dania
is an assistant professor of finance at Alcorn State University’s School of Business in Alcorn State, MS.
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  • For correspondence: adania@alcorn.edu
D.K. Malhotra
is a professor of finance at Philadelphia University’s School of Business Administration in Philadelphia, PA.
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  • For correspondence: malhotrad@philau.edu
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Abstract

A fundamental tenet of the investment management process is portfolio construction to maximize wealth creation through investment in efficient portfolios. Faith-based, socially responsible investments (SRI), on the other hand, place importance on investors’ concern with the religious and faith-based consequences of investment decisions. This study examines dynamic linkages among four major Islamic indexes and their corresponding “conventional” indexes of North America, European Union, Far East, and Pacific nation markets. Contrary to the widely held assumption that faith-based SRI involve a selective portfolio selection process due to faith-based screening, and are likely to have low correlation with the set of counterpart conventional investments, we find evidence of a positive and significant spillover from conventional market indexes on their corresponding faith-based SRI returns. Results from impulse response analysis show that innovations in conventional indexes have significant and positive impact on their corresponding Islamic indexes. Regarding the nature of volatility spillover, we find evidence of a positive and significant spillover from conventional indexes on their corresponding Islamic indexes. We also find evidence of an asymmetric news effects.

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The Journal of Wealth Management: 16 (1)
The Journal of Wealth Management
Vol. 16, Issue 1
Summer 2013
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An Empirical Examination of the Dynamic Linkages of
Faith-Based Socially Responsible Investing
Akash Dania, D.K. Malhotra
The Journal of Wealth Management Apr 2013, 16 (1) 65-79; DOI: 10.3905/jwm.2013.16.1.065

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An Empirical Examination of the Dynamic Linkages of
Faith-Based Socially Responsible Investing
Akash Dania, D.K. Malhotra
The Journal of Wealth Management Apr 2013, 16 (1) 65-79; DOI: 10.3905/jwm.2013.16.1.065
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