Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries
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DOI: 10.1016/j.bir.2020.04.003
Abstract: Abstract Empirical findings focusing on the relationship between capital markets and macroeconomic variables are used as data sources in determining policies for the development of the conventional and Islamic financial system. The aim of this… read more here.
Keywords: volatility; islamic stock; spillover effects; volatility spillover ... See more keywords
Realized volatility transmission within Islamic stock markets: A multivariate HAR-GARCH-type with nearest neighbor truncation estimator
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DOI: 10.1016/j.bir.2020.10.001
Abstract: Abstract Using the nearest neighbor truncation (NNT) approach, this study investigates the realized volatility transmission between the Malaysian Islamic market with various global sectoral Islamic stock markets by extending the heterogeneous autoregressive (HAR) with GARCH,… read more here.
Keywords: har garch; volatility transmission; realized volatility; volatility ... See more keywords
Creation of an Islamic stock index in West Africa
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DOI: 10.1016/j.ribaf.2017.04.017
Abstract: Islamic finance, which has become inescapable has entered into financial markets by offering solutions consistent with the precepts of the Shariah. The objective of this paper is to propose the creation of an Islamic stock… read more here.
Keywords: stock index; finance; islamic stock; stock ... See more keywords
Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR
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DOI: 10.1016/j.ribaf.2017.07.013
Abstract: The main objective of this paper is to assess the exposure of Islamic stock indexes to systemic tail events. We use Conditional Value-at-Risk (CoVaR) and Delta CoVaR measures as developed by Adrian and Brunnermeier (2011)… read more here.
Keywords: stock indexes; systemic risk; covar; islamic stock ... See more keywords
Asymmetric impact of shocks on Islamic stock indices: a cross country analysis
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DOI: 10.1108/jima-04-2017-0043
Abstract: PurposeSeveral studies focus on asymmetric impact of shocks on conventional stocks. However, only few studies explore Islamic stocks, but none has examined the asymmetric impact of shocks on Islamic stocks. This study aims to fill… read more here.
Keywords: islamic stocks; islamic stock; volatility; asymmetric impact ... See more keywords