Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods

Hkiri, Besma; Hammoudeh, Shawkat; Aloui, Chaker; Yarovaya, Larisa

doi:10.1016/j.pacfin.2017.03.001

Cited by 98 publications

(83 citation statements)

References 39 publications

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“…To that end, it would be particularly interesting to examine if the same relationship holds in the case of sovereign bond yields as well as it can provide insight to whether GPRs have a direct effect on the credit risk of sovereigns. On the other hand, the finding of an insignificant GPR effect at extreme quantiles is in a way supportive of the recent arguments by Hkiri et al (2017) that Islamic assets can serve as a safe haven during financial crisis periods characterized by extreme market conditions. To that end, the finding that GPRs do not have a significant effect on return dynamics during such periods, suggests that Islamic restrictions based on religious criteria present the greatest benefits during such markets states when those risk reduction benefits are not nullified by the negative effects exerted by GPRs.…”

Section: Causality Testssupporting

confidence: 83%

Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note

Bouri

Demirer

Gupta

et al. 2018

Defence and Peace Economics

107

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This study applies a non-parametric causality-in-quantiles test to examine the causal effect of geopolitical risks on return and volatility dynamics of Islamic equity and bond markets.Geopolitical risks are generally found to impact Islamic equity market volatility measures, rather than returns. However, Geopolitical risks tend to predict both returns and volatility measures of Islamic bonds. Interestingly, causality, when it exists for returns and/or volatility of Islamic equities and bonds, is found to hold over entire conditional distributions of returns and volatilities, barring the extreme ends of the same.

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Section: Causality Testssupporting

confidence: 83%

Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note

Bouri

Demirer

Gupta

et al. 2018

Defence and Peace Economics

107

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“…[14,15] used classical performance ratios such as the Sharpe, Treynor and Jensen measures and they showed that the Islamic indices outperformed the conventional ones in the recent global financial crisis. [2,16], among others, confirmed the same results. Specifically, [2] analyzed nine Islamic and conventional indices by applying stochastic dominance and they also confirmed a superior performance of Islamic indices in the recent financial crisis.…”

Section: Introduction and Literature Reviewsupporting

confidence: 66%

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

González¹,

Jareño²,

Haddouti³

2019

Sustainability

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This study compares the performance of sector portfolios from Islamic and conventional stock markets, using standard as well as current performance measures for a recent sample period between January 1996 and December 2015. Furthermore, to test the robustness of our analysis and to determine which type of portfolios offer better performance depending on the economic cycle, the full sample period is divided into three sub-sample periods: Before, during and after the recent global financial crisis. The three main outcomes of this research confirm that, first, the sector with the best performance results is Health Care, while the sector with the worst performance results is Financials for the Islamic as well as the conventional stock market. Second, the post-crisis sub-period exhibits the best performance not only in conventional but also in Islamic markets, confirming that portfolio performance depends on the economic stage and highlighting emerging signs of economic recovery. Third, Islamic sector portfolios, as a whole, show better performance than conventional sector portfolios for all performance measures—not just for the full period but also for the three sub-sample periods. The superior risk-adjusted returns of the Islamic sector portfolios, even during the recent global financial crisis, can be justified, among other reasons, by the moderated uncertainty and speculation, as well as the fact that Islamic finance prevents interest rates that have a negative impact on the economy. Thus, Sharia-compliant assets can contribute to improving the sustainability of unattractive performance portfolios during financial crises.

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“…Volatility in the stock prices is echoed by the rate of growth of such macro variables in economy which also play their part in changing the volatility of the stocks. The more economic interdependence between markets, the more contagious they would be in turmoil period (Hkiri, Hammoudeh, Aloui, & Yarovaya, 2017). In today's business environment, information flow is fast, therefore, rate of change of prices of stocks is also very quick.…”

Section: Introductionmentioning

confidence: 99%

Returns and Volatility Spillover between Islamic and Conventional Indexes: Evidence from Selected Emerging Asian Markets

2018

J. Islam. bus. manag.

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Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods

Cited by 98 publications

References 39 publications

Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note

Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

Returns and Volatility Spillover between Islamic and Conventional Indexes: Evidence from Selected Emerging Asian Markets

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