Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis
Résumé
This article investigates the impact of gold in portfolios in distinguishing between Islamic and conventional stocks as well as between risk-averse and risk-seeking investors, while considering sectorial specificities. Using daily data from the Dow Jones indexes and the London gold market over the 2002-2014 period, the results obtained show that the stochastic dominance method is more robust than the mean-risk method to detect the difference between Islamic and conventional portfolios. For most sectors, risk-averters prefer conventional portfolios, while risk-seekers prefer Islamic portfolios. On the other hand, risk-averters prefer portfolios with gold, while risk-seekers prefer portfolios without gold. A robustness check on different sub-periods shows that these results are time-varying following the behavior of gold prices. These findings can provide useful information to investors respecting Sharia and looking for a diversification with commodities such as gold.