Assessing the Impact of Crude Oil Price and Investor Sentiment on Islamic Indices: Subprime Crisis

Ghorbel, Achraf; Abdelhédi, Mouna; Boujelbène, Younés

doi:10.1080/15228916.2014.881222

Cited by 23 publications

(7 citation statements)

References 23 publications

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“…Moreover, Ghorbel et al (2014) found that during the subprime crisis, the pessimistic sentiment is transmitted to Islamic indices, suggesting the existence of herding contagion. Analyzing the effect of quarter revisions of the Dow Jones Islamic Market World Index, Mazouz et al (2016) found an increase (decrease) in stock’s co-movement when it joins (leaves) the Dow Jones Islamic Market World Index.…”

Section: Literature Reviewmentioning

confidence: 99%

Islamic occasions and investor sentiment

Jaziri

Abdelhédi

2018

IMEFM

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Purpose The purpose of this paper is to investigate whether the Islamic religious occasions can, through their impact on investor sentiment, affect returns in six Arab financial markets. Design/methodology/approach In this paper, the authors test the effect of the occasions of Hajj pilgrimage, Ramadan, Eid-al-Fitr, Mawlid and Ashura during the period of 2001-2016 on Saudi Arabia, Dubai, Kuwait, Egypt, Qatar and Bahrain financial markets. Three measures of investor sentiment are used: trading volume, high minus low and psychological line index. Findings Higher effect of investor sentiment on returns is detected after Hajj pilgrimage than that before Hajj pilgrimage in all studied financial markets. The positive emotions during Ramadan contribute significantly to the increase in returns in Arab financial markets. Results indicate that most of studied financial markets exhibit a significant effect of investor sentiment on returns during the first 10 days and the second 10 days of Ramadan. Empirical results indicate that Eid-al-Fitr affects the relation between investor sentiment and returns in Saudi Arabia, Kuwait, Qatar and Dubai financial markets. Relationship between investor sentiment and returns is not is not significantly affected by the Mawlid occasion, except in the Dubai and Kuwait financial markets. Originality/value The Islamic occasions of the Hajj pilgrimage, Ramadan and Eid-al-Fitr affect significantly the relation between investor sentiment and returns.

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Section: Literature Reviewmentioning

confidence: 99%

Islamic occasions and investor sentiment

Jaziri

Abdelhédi

2018

IMEFM

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“…, 2018). Indeed, Ghorbel et al. (2014) suggested that the use of Islamic assets would reduce the overuse of credit default swaps.…”

Section: Empirical Results and Interpretationmentioning

confidence: 62%

Do Ṣukūk and Islamic indexes act as safe refuge to conventional stock markets? Evidence from Markov-switching CAPM approach

Bahloul

Mathlouthi²

2022

IES

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PurposeThe objective of this paper is twofold. First, to study the safe-haven characteristic of the Islamic stock indexes and Sukuk during the crises time. Second, to evaluate this property in the last pandemic. This study employs the daily dataset from June 15, 2015, to June 15, 2020, for the most affected countries by the earlier disease.Design/methodology/approachThis study uses the Markov-switching Capital Asset Pricing Model (CAPM) approach and the basic CAPM for the main analysis and the safe haven index (SHI) recently developed by Baur and Dimpfl (2021) for the robustness test.FindingsBased on Baur and Lucey's (2010) definition, empirical findings indicate that Islamic stock indexes cannot be a refuge throughout the crisis regime for all selected conventional markets. However, Sukuk are a strong refuge in Brazilian, Russian and Malaysian markets. For the remainder countries, except Italy, the USA and Spain, the Sukuk index offers weak protection against serious conventional market downturns. Similar conclusions are obtained during the COVID-19 global crisis period. Finally, results are confirmed by using the SHI.Originality/valueTo the best of the authors’ knowledge, this paper is the first study that evaluates the safe haven effectiveness of the Islamic index and Sukuk using the SHI in the most impacted countries by the COVID-19 outbreak.

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“…While previous papers found a negative relationship between oil prices and SR (Driesprong et al, 2008;Filis, 2010;Kling, 1985;Sadorsky, 1999), recent papers found a positive relationship (Narayan & Narayan, 2010;Zhu et al, 2016). A different strand of the literature analyzes the linkage between crude oil and Islamic indices (Chang et al, 2020;Ftiti & Hadhri, 2018;Ghorbel et al, 2014;Mezghani & Boujelbène, 2018). Chang et al (2020) studied the asymmetric effects of oil price on the DJIM and 10 sectorial stock indices by applying quantile-on-quantile approach using daily data over the period January 1996 to April 2019.…”

Section: Stock Returns and Global Risk Factorsmentioning

confidence: 99%

Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach

2022

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The purpose of this study is to investigate the effect of local macroeconomic indicators and global risk factors on the participation index in the Turkish stock market from May 2011 to April 2021. Using the quantile regression approach, we detect the impact of local macroeconomic indicators and global risk factors across different market conditions: bull, bear, and normal. The empirical results demonstrate that, among local macroeconomic indicators, monetary policy-related indicators, Consumer Price Index (CPI)(Slope of Government Bond [SGB]), merely influence participation 30 index (KAT30) return in bearish market (bullish market); however, credit default swap negatively affects KAT30 return across all quantiles. When it comes to global risk factors, results show that KAT30 return is negatively affected by the implied volatility index across all quantiles except Q0.75 and Q0.95. This means that the implied volatility index impact on KAT30 return is stronger during the bearish market. Yet, Oil Volatility Index (OVX) and Morgan Stanley Country Index (MSCI) positively impact the index return across upper quantiles.

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Assessing the Impact of Crude Oil Price and Investor Sentiment on Islamic Indices: Subprime Crisis

Cited by 23 publications

References 23 publications

Islamic occasions and investor sentiment

Islamic occasions and investor sentiment

Do Ṣukūk and Islamic indexes act as safe refuge to conventional stock markets? Evidence from Markov-switching CAPM approach

Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach

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