Title: Do commodities improve the performance of international Islamic stock portfolios? An analysis for pre-and during COVID-19 pandemic

Authors: Imen Khemakhem; Slah Bahloul

Addresses: Research Laboratory: Probability and Statistics Department of Finance, Faculty of Economics and Management of Sfax, University of Sfax, Sfax, Tunisia ' Research Laboratory: Probability and Statistics Department of Finance, Higher Institute of Business Administration, University of Sfax, Sfax, Tunisia

Abstract: This paper investigates the potential portfolio diversification benefits through introducing commodities to international Islamic stock portfolios through the period 2016-2020. Different types of asset investment strategies such as equally weighted portfolios (1/N), risk-parity, reward-to-risk timing, minimum-variance, mean-variance, and Black-Litterman have been used. Also, we apply the bootstrap methodology of Ledoit and Wolf (2008) to test for the difference of Sharpe ratios. Generally, empirical results display that the introduction of commodities improves the performance of the International Islamic stock portfolios over the complete sample, the pre-COVID-19 and the COVID-19 periods. However, the difference in performance between international Islamic stock-commodity and international Islamic stock portfolios is not statistically significant for the diverse asset investment approaches across the different studied periods. These findings have noteworthy implications for global investors who prefer to diversify only in Islamic equities.

Keywords: international Islamic portfolio; commodities indexes; asset investment strategies; Sharpe ratio difference test; COVID-19.

DOI: 10.1504/IJBPM.2024.138188

International Journal of Business Performance Management, 2024 Vol.25 No.3, pp.435 - 455

Received: 08 Apr 2022
Accepted: 06 Jan 2023
Published online: 30 Apr 2024 *

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