Dynamic Conditional Correlation and Volatility Spillover between Conventional and Islamic Stock Markets: Evidence from Developed and Emerging Countries

Sahabuddin, Mohammad; Islam, Md. Aminul; Tabash, Mosab I.; Alam, Md. Kausar; Daniel, Linda Nalini; Mostafa, Imad Ibraheem

doi:10.3390/jrfm16020111

Cited by 7 publications

(4 citation statements)

References 62 publications

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“…It has provided an important catalyst to shed light on Islamic financial products and services compared to the conventional counterpart. 34 The development of IF is an important innovation in the modern world. The products and services of IF are more popular not only with Muslim investors but are appealing and highly desirable to non-Muslim investors due to the unique features of Shariah compliance 35 .…”

Section: Iiia the Global Financial Crisismentioning

confidence: 99%

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The Global Financial Crisis, Covid-19 and the Russia-Ukraine War: The Safe Haven Potential of Islamic Economics

Ahmad,

Sahabuddin

2023

j. cent. bank. law and inst.

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Islamic economics is an innovative phenomenon in the modern world. In many developed and developing countries, Islamic financial systems successfully work in parallel with their conventional peers. It is unfortunate that at the time when the world is suffering from a pandemic like COVID-19, the world community has witnessed a war between Russia and Ukraine that has disrupted the global economy. This study evaluates the safe-haven potential of Islamic economics to hedge against a global financial crisis, COVID-19 pandemic, and the Russia-Ukraine conflict and examines how Islamic economics has responded to this major disruption in the digital era. The published literature is reviewed to investigate the impact of major disruptive events like the global financial crisis 2008-2009, COVID-19 and the recent Russia-Ukraine conflict on the global economy. The findings also show that the global financial crisis, Covid-19, and the Russia-Ukraine war are the major events that have disrupted the paradigms of the changing process. Along with this changing process, the advancement of information technology plays a vital role in accelerating financial innovation in the digital era. Moreover, despite the major episodes, it has grown rapidly compared to the traditional counterpart. As the fastest growing part of the global economic system, Islamic economics has shown appeal to diverse investors and issuers.

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Section: Iiia the Global Financial Crisismentioning

confidence: 99%

“…16 Therefore, investors, finance managers, and policymakers are seeking a safe haven during the unstable financial periods. 17 It is worthy of note that the Indonesian Government encourages the implementation of laws and regulations of Shari'ah in the economy in parallel with its conventional counterparts. For example, the three state-owned banks PT.…”

mentioning

confidence: 99%

The Global Financial Crisis, Covid-19 and the Russia-Ukraine War: The Safe Haven Potential of Islamic Economics

Ahmad,

Sahabuddin

2023

j. cent. bank. law and inst.

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“…This growth in Islamic financial sectors allows many investors to invest for diversification purposes. Because investors and other financial surplus units in the economy seek investment opportunities with minimal shocks and predictable impacts, the Islamic financial industry experiences fewer shocks than the traditional financial sector, and investors can predict the performance of the Islamic index (Sahabuddin et al, 2023). Because investors are increasingly interested in Islamic equities to diversify their portfolios, it is necessary to forecast Islamic stock performance.…”

Section: Introductionmentioning

confidence: 99%

Predicting Shariah Stock Market Indices with Machine Learning: A Cross-Country Case Study

Khairunnisa,

Rodoni,

Rama

2024

JESTT

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Stock prices are influenced by numerous factors, including policy adjustments, economic conditions, and international developments. Consequently, forecasting stock price trends accurately has posed a significant challenge for economists to study. The Islamic financial industry experiences fewer shocks compared to the traditional financial sector, allowing investors to anticipate the performance of Islamic indices. This study aims to predict the Islamic stock market indices in six countries, including Indonesia, Thailand, Malaysia, Pakistan, the United Arab Emirates, and Qatar, using the Autoregressive Integrated Moving Average (ARIMA) model. Monthly data from 2013 to 2023 sourced from investing.com and Yahoo Finance are analyzed using R machine learning. The objective of this study is to provide accurate predictions for the next 25 months and offer insights into potential price movements. Overall, this research also sheds light on the dynamics of the Islamic market in Indonesia, Thailand, Malaysia, Pakistan, the United Arab Emirates, and Qatar, which adhere to the Efficient Market Hypothesis (EMH) due to the predictability of index prices by historical data. Keywords: forecating, R-Studio, ARIMA, Islamic Stock Market, Machine Learning, R-Programming ABSTRAK Harga saham dipengaruhi oleh banyak faktor, termasuk penyesuaian kebijakan, kondisi ekonomi, dan perkembangan internasional. Oleh karena itu, memprediksi tren harga saham dengan akurat telah menjadi tantangan signifikan bagi para ekonom untuk mempelajarinya. Industri keuangan Islam mengalami lebih sedikit goncangan dibandingkan dengan sektor keuangan tradisional, yang memungkinkan investor untuk memperkirakan kinerja indeks Islam. Studi ini bertujuan untuk memprediksi indeks pasar saham Islam di enam negara, termasuk Indonesia, Thailand, Malaysia, Pakistan, Uni Emirat Arab, dan Qatar, menggunakan model Autoregressive Integrated Moving Average (ARIMA). Data bulanan dari tahun 2013 hingga 2023 yang berasal dari investing.com dan Yahoo Finance dianalisis menggunakan pembelajaran mesin R. Tujuan dari studi ini adalah untuk memberikan prediksi yang akurat untuk 25 bulan mendatang dan menawarkan wawasan tentang pergerakan harga yang potensial. Secara keseluruhan, penelitian ini juga memberikan cahaya tentang dinamika pasar Islam di Indonesia, Thailand, Malaysia, Pakistan, Uni Emirat Arab, dan Qatar, yang mengikuti Hipotesis Pasar Efisien (EMH) karena dapat diprediksi oleh data historis.. Kata Kunci: Prediksi, R-Studio, ARIMA, Indeks Pasar Modal Syariah, Machine Learning, R-Programming

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“…The portfolio and finance managers must comprehend the association and its strength among these business markets (Maghyereh et al, 2017). Moreover, the relationship among the financial marketplaces is examined by finding the mean and volatility spillover across them because it is crucial for designing the optimal portfolio and smart hedging strategies (Sahabuddin et al, 2023;Wang et al, 2023).…”

Section: Introductionmentioning

confidence: 99%

From Wells to Wallets: Tracing Volatility Spillover from Crude Oil to South Asian Stock Markets

2023

PSSR

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The association between stock and oil prices is essential because these are subjected to economic changes. The changing economic and political conditions create shocks in the economy that bring Instability in the oil market that spills over to developing nations 'stock markets. The study has used the daily data to study the spillover from crude oil to the stock markets of South Asia. The Markov-Switching and DCC-GARCH approaches have been used in this study. The results found the positive impact of crude oil prices on the stock markets and reflect that high price volatility in the crude oil market brings positive spillover and shocks in the South Asian stock markets. Furthermore, the DCC-GARCH model found the decay in the persistence of volatility over time. Further, they explored that there does not exist volatility spillover from the crude oil to the stock markets of Nepal, Bhutan, and Sri Lanka in the short run. However, the volatility spillover in the long run exists for all the stock markets except the Colombo Stock Exchange. This shows an opportunity for the investors for portfolio diversification in Nepal, Bhutan, and Sri Lanka because these are independent of the instabilities in the crude oil market. Overall, the study provides valuable insight for policymakers and investors on spillover from oil to stock markets, risk management, and its diversification approaches in the stock markets of South Asia.

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Dynamic Conditional Correlation and Volatility Spillover between Conventional and Islamic Stock Markets: Evidence from Developed and Emerging Countries

Cited by 7 publications

References 62 publications

The Global Financial Crisis, Covid-19 and the Russia-Ukraine War: The Safe Haven Potential of Islamic Economics

The Global Financial Crisis, Covid-19 and the Russia-Ukraine War: The Safe Haven Potential of Islamic Economics

Predicting Shariah Stock Market Indices with Machine Learning: A Cross-Country Case Study

From Wells to Wallets: Tracing Volatility Spillover from Crude Oil to South Asian Stock Markets

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