Siok Jin Lim | INCEIF (Intern. Centre for Edu. in Islamic Finance) (original) (raw)
Phd student at INCEIF
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INCEIF (Intern. Centre for Edu. in Islamic Finance)
Istanbul Sabahattin Zaim University / İstanbul Sabahattin Zaim Üniversitesi
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Bitcoin is a form of digital currency that is circulating without the backing of any central bank... more Bitcoin is a form of digital currency that is circulating without the backing of any central bank and monitoring authority. Therefore, sceptics regularly question the status of Bitcoin as a legal tender. Nevertheless, due to increasing popularity and importance of Bitcoin, practitioners and researchers have recently started to assess Bitcoin from the perspective of business, economics and finance. This paper explores possibilities of using Bitcoin as a portfolio optimisation strategy for Islamic fund managers. We use three recent and appropriate methodologies: M-GARCH-DCC, Continuous Wavelet Transforms (CWT), and Maximum Overlap Discrete Wavelet Transform (MODWT). The results significantly tend to indicate that Bitcoin and Shari'ah stock indices are lowly and negatively correlated, suggesting that Islamic stock investors can benefit from diversification with Bitcoin and that the fundamentals of such crypto-currencies can be further investigated for the benefit of Islamic capital markets.
Papers by Siok Jin Lim
The goal of this study is to analyse the co-movements and the portfolio diversification between t... more The goal of this study is to analyse the co-movements and the portfolio diversification between the Islamic index of U.S. and its top trading partners, namely Canada, China, Mexico, Japan and Germany, using Morgan Stanley Capital International (MSCI) daily returns data from January 2013 to August 2020. We employed three main techniques: multivariate-GARCH-DCC, CWT and MODWT to analyse whether these markets have any diversification opportunities. Our findings reveal that, first, we observed that the U.S. Islamic index and its trading partners showed increased integration after U.S. implemented its first China-specific tariffs in 2018 and were closely integrated during the Covid-19 pandemic in 2020. Second, CWT results show that investors would gain diversification benefits in China and Mexico under specific investment horizons. Third, the results of MODWT shows Japan Islamic index provide short term diversification opportunity and Mexico Islamic index for longer term investments.
International Journal of Financial Research, 2021
Ageing demographic profiles pose challenges to the nation as policymakers are concerned about the... more Ageing demographic profiles pose challenges to the nation as policymakers are concerned about the health, public pension and the financial management of the society. In Malaysia, retirees are mostly dependent on savings from the Employees Provident Fund (EPF), a government agency that manages savings and retirement plans for private-sector employees and non-pensionable public servants. Many Malaysians aged past the targeted retirement age of 60 years old chose to remain in the workforce, mainly due to insufficient retirement funds or has depleted their retirement funds in a short period. To ensure sufficient funds to attain an ideal retirement life, Malaysians resort to invest or seek business opportunities. Thus, this paper studies the impact of demographic characteristics (sex, age, and educational level) and finance characteristics (financial knowledge and financial satisfaction) on the risk tolerance among older Malaysian Chinese in the year 2020. The results of this study showe...
Bitcoin is a form of digital currency that is circulating without the backing of any central bank... more Bitcoin is a form of digital currency that is circulating without the backing of any central bank and monitoring authority. Therefore, sceptics regularly question the status of Bitcoin as a legal tender. Nevertheless, due to increasing popularity and importance of Bitcoin, practitioners and researchers have recently started to assess Bitcoin from the perspective of business, economics and finance. This paper explores possibilities of using Bitcoin as a portfolio optimisation strategy for Islamic fund managers. We use three recent and appropriate methodologies: M-GARCH-DCC, Continuous Wavelet Transforms (CWT), and Maximum Overlap Discrete Wavelet Transform (MODWT). The results significantly tend to indicate that Bitcoin and Shari’ah stock indices are lowly and negatively correlated, suggesting that Islamic stock investors can benefit from diversification with Bitcoin and that the fundamentals of such crypto-currencies can be further investigated for the benefit of Islamic capital mar...
Bitcoin is a form of digital currency that is circulating without the backing of any central bank... more Bitcoin is a form of digital currency that is circulating without the backing of any central bank and monitoring authority. Therefore, sceptics regularly question the status of Bitcoin as a legal tender. Nevertheless, due to increasing popularity and importance of Bitcoin, practitioners and researchers have recently started to assess Bitcoin from the perspective of business, economics and finance. This paper explores possibilities of using Bitcoin as a portfolio optimisation strategy for Islamic fund managers. We use three recent and appropriate methodologies: M-GARCH-DCC, Continuous Wavelet Transforms (CWT), and Maximum Overlap Discrete Wavelet Transform (MODWT). The results significantly tend to indicate that Bitcoin and Shari'ah stock indices are lowly and negatively correlated, suggesting that Islamic stock investors can benefit from diversification with Bitcoin and that the fundamentals of such crypto-currencies can be further investigated for the benefit of Islamic capital markets.
The goal of this study is to analyse the co-movements and the portfolio diversification between t... more The goal of this study is to analyse the co-movements and the portfolio diversification between the Islamic index of U.S. and its top trading partners, namely Canada, China, Mexico, Japan and Germany, using Morgan Stanley Capital International (MSCI) daily returns data from January 2013 to August 2020. We employed three main techniques: multivariate-GARCH-DCC, CWT and MODWT to analyse whether these markets have any diversification opportunities. Our findings reveal that, first, we observed that the U.S. Islamic index and its trading partners showed increased integration after U.S. implemented its first China-specific tariffs in 2018 and were closely integrated during the Covid-19 pandemic in 2020. Second, CWT results show that investors would gain diversification benefits in China and Mexico under specific investment horizons. Third, the results of MODWT shows Japan Islamic index provide short term diversification opportunity and Mexico Islamic index for longer term investments.
International Journal of Financial Research, 2021
Ageing demographic profiles pose challenges to the nation as policymakers are concerned about the... more Ageing demographic profiles pose challenges to the nation as policymakers are concerned about the health, public pension and the financial management of the society. In Malaysia, retirees are mostly dependent on savings from the Employees Provident Fund (EPF), a government agency that manages savings and retirement plans for private-sector employees and non-pensionable public servants. Many Malaysians aged past the targeted retirement age of 60 years old chose to remain in the workforce, mainly due to insufficient retirement funds or has depleted their retirement funds in a short period. To ensure sufficient funds to attain an ideal retirement life, Malaysians resort to invest or seek business opportunities. Thus, this paper studies the impact of demographic characteristics (sex, age, and educational level) and finance characteristics (financial knowledge and financial satisfaction) on the risk tolerance among older Malaysian Chinese in the year 2020. The results of this study showe...
Bitcoin is a form of digital currency that is circulating without the backing of any central bank... more Bitcoin is a form of digital currency that is circulating without the backing of any central bank and monitoring authority. Therefore, sceptics regularly question the status of Bitcoin as a legal tender. Nevertheless, due to increasing popularity and importance of Bitcoin, practitioners and researchers have recently started to assess Bitcoin from the perspective of business, economics and finance. This paper explores possibilities of using Bitcoin as a portfolio optimisation strategy for Islamic fund managers. We use three recent and appropriate methodologies: M-GARCH-DCC, Continuous Wavelet Transforms (CWT), and Maximum Overlap Discrete Wavelet Transform (MODWT). The results significantly tend to indicate that Bitcoin and Shari’ah stock indices are lowly and negatively correlated, suggesting that Islamic stock investors can benefit from diversification with Bitcoin and that the fundamentals of such crypto-currencies can be further investigated for the benefit of Islamic capital mar...