Cross-sectoral interactions in Islamic equity markets

Yılmaz, Mustafa Kemal; Şensoy, Ahmet; Ozturk, Kevser; Hacihasanoglu, Erk

doi:10.1016/j.pacfin.2014.12.008

Cited by 76 publications

(31 citation statements)

References 55 publications

(54 reference statements)

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“…In contrast, recent studies by Hammoudeh et al (2014), Dewandaru et al (2014), Ajmi et al (2014), Yilmaz et al (2015) and Rizvi et al (2015) negate the decoupling hypothesis. Using a copula approach, Hammoudeh et al (2014) demonstrate the significant dependence of the global Islamic equity market index on major global conventional equity indexes and various global factors, highlighting no distinct differences of the Islamic indexes from the conventional indexes.…”

Section: Accepted Manuscriptmentioning

confidence: 67%

“…Dewandaru et al (2014) further note the presence of contagion and interdependence between the Islamic markets and conventional markets, the finding substantiated by a paper in this issue by Rizvi et al (2015). Both Rizvi et al (2015) and Yilmaz et al (2015) further note increasing integration of the Islamic equity sectors to the global market. The increasingly noted interdependence of Islamic equity markets with global markets as well as the presence of contagion tend to weaken the diversification benefit of the Islamic equity markets as well as cast doubt on whether they can play a hedging role or safe haven role during times of stress.…”

Section: Accepted Manuscriptmentioning

confidence: 70%

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Issues in Islamic banking and finance: Islamic banks, Shari’ah-compliant investment and sukuk

Ibrahim

2015

Pacific-Basin Finance Journal

102

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Section: Accepted Manuscriptmentioning

confidence: 67%

Section: Accepted Manuscriptmentioning

confidence: 70%

Issues in Islamic banking and finance: Islamic banks, Shari’ah-compliant investment and sukuk

Ibrahim

2015

Pacific-Basin Finance Journal

102

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“…In a related research, Yilmaz et al (2015) analyze the interactions among ten major Islamic equity sector indices using the consistent dynamic conditional correlation ( Building on this body of work, our research aims to shed additional light on the risk transmission between the Islamic stock market and its mainstream counterparts using the VAR-based spillover index approach developed by Diebold and Yilmaz (2012). This framework has been widely employed in recent years to examine the international information transmission mechanisms across stock markets (Balli et al, 2015;Tsai, 2014;Yarovaya et al, 2016).…”

Section: Literature Reviewmentioning

confidence: 99%

Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis

Shahzad

Ferrer

Ballester

et al. 2017

International Review of Financial Analysis

164

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Abstract. This paper contributes to the current debate on the empirical validity of the decoupling hypothesis of the Islamic stock market from its mainstream counterparts by examining return and volatility spillovers across the global Islamic stock market, three main conventional national stock markets (the US, the UK and Japan) and a number of influential macroeconomic and financial variables over the period from July 1996 to June 2016. To that end, the VAR-based spillover index approach based on the generalized VAR framework developed by Diebold and Yilmaz (2012) is applied. The empirical analysis shows strong interactions in return and volatility among the global Islamic stock market, the conventional stock markets and the set of major risk factors considered. This finding means that the Islamic equity universe does not constitute a viable alternative for investors who wish to hedge their investments against the vagaries of stock markets, but it is exposed to the same global factors and risks hitting the conventional financial system. Therefore, this evidence leads to the rejection of the decoupling hypothesis of the Islamic stock market from conventional stock markets, which has significant implications for faith-based investors and policy makers in terms of portfolio diversification, hedging strategies and contagion risk.Keywords: Islamic stock market, conventional stock markets, global risk factors, return and volatility spillovers, spillover index approach JEL Classification: C58, G01, G15

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“…The bulk of the existing literature is focused on the comparative performance of Islamic and conventional financial assets [1][2][3][4][5][6][7][8] The issue of potential risk transmission between Islamic and conventional financial assets is relatively less explored. This paper contributes toward this strand of literature by analysing the risk transmission mechanism between Islamic and conventional equities.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities

Umar

Suleman

2017

Risks

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This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion effect. We analyse the intra-market and inter-market spillover among Islamic and conventional equities across three major markets: the USA, the United Kingdom and Japan. Our sample period ranges from 1996 to 2015. In addition, we segregate our sample period into three sub-periods covering prior to the 2007 financial crisis, the crisis period and the post-crisis period. We find weak support for the decoupling hypothesis during the post-crisis period.

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Cross-sectoral interactions in Islamic equity markets

Cited by 76 publications

References 55 publications

Issues in Islamic banking and finance: Islamic banks, Shari’ah-compliant investment and sukuk

Issues in Islamic banking and finance: Islamic banks, Shari’ah-compliant investment and sukuk

Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities

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