Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries

Aloui, Chaker; Hammoudeh, Shawkat; Hamida, Hela Ben

doi:10.1016/j.najef.2014.12.002

Cited by 67 publications

(35 citation statements)

References 65 publications

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“…They also show that Islamic assets don't seem to have a different behavior compared to conventional stock and bond counterparts, with overall portfolio diversification varying across frequencies and time. In a subsequent paper, the same authors (Aloui et al, 2015b), investigating the global factors driving the co‐movement, show that oil prices and credit event information had a positive relationship during the 2008–2013 period. Kim and Kang (2012), using a multivariate GARCH model, document the existence of unidirectional volatility spillovers from Shariah stocks to sukuk during subprime financial crisis.…”

Section: Literature Reviewmentioning

confidence: 94%

“…To the best of our knowledge, this is the first paper assessing co‐movements between Islamic bonds and conventional stocks, in spite of being already part of the literature on portfolio diversification (Campbell & Ammer, 1993; Keim & Stambaugh, 1986; Kwan, 1996). Few papers explore co‐movements between different Islamic assets (Aloui, Hammoudeh, & Hamida, 2015a, 2015b), or analyze cointegration in Islamic stock markets (Majid, Yusof, & Razal, 2007; Marashdeh, 2005). Few others investigate diversification benefits of Shariah compliant stocks or indexes when compared to conventional ones (Achsani, Effendi, & Abidin, 2007; Karim, Kassim, & Arip, 2010; Majid, Meera, Omar, & Aziz, 2009).…”

Section: Introductionmentioning

confidence: 99%

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Dynamic correlations and volatility linkages between stocks and sukuk: Evidence from international markets

et al. 2016

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a b s t r a c t a r t i c l e i n f oAvailable online xxxxAn understanding of volatility and co-movements in financial markets is important for portfolio allocation and risk management practices. The current financial crisis caused a shrinkage in values of most assets, an increased volatility and a threat to the survival of several institutional investors. Managing risks and returns within the classic portfolio theory, when correlations across securities soar, is increasingly challenging. In this paper, we investigate the volatility behavior and the co-movements between sukuk and international stock indexes. Symmetric multivariate GARCH models with dynamic conditional correlations (DCC) were estimated under Student-t distribution. We provide evidence of high correlations between sukuk and US and EU stock markets, without finding the well-known flight to quality behavior affecting Islamic bonds. We also show that volatility linkages between sukuk and regional market indexes are higher during financial crisis. We argue that investors could obtain diversification benefits including sukuk in a well-diversified equity portfolio, given their lower volatility compared to equity. But higher volatility linkages and dynamic correlations during financial crises show that they are hybrid instruments between bonds and equity. Our findings are relevant for institutional investors and asset managers that include Islamic bonds in a diversified portfolio.

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Section: Literature Reviewmentioning

confidence: 94%

Section: Introductionmentioning

confidence: 99%

Dynamic correlations and volatility linkages between stocks and sukuk: Evidence from international markets

et al. 2016

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“…Multivariate GARCH (Generalized Autoregressive Conditional Heteroscedasticity) models have become the most popular approach to investigate the dynamic stock-bond correlation. The DCC (Dynamic Conditional Correlation)-GARCH model proposed by Engle (2002) has proven to be particularly well suited for describing the time-varying comovement between stock and bond markets (Aloui, Hammoudeh, & ben Hamida, 2015;Andersson, Krylova, & Vähämaa, 2008;Baur & Lucey, 2009;Dacjman, 2012). An obvious limitation of multivariate GARCH processes is that they are built on the assumption that the conditional joint distribution of stock and bond returns follows an elliptical distribution with linear correlation, such as the multivariate Gaussian or Student-t.…”

Section: Introductionmentioning

confidence: 99%

Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas

Jammazi

Tiwari²,

Ferrer

et al. 2015

The North American Journal of Economics and Finance

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JEL classification: C40 E44 F30 G15Keywords: Stock returns Government bond returns Dependence Flight-to-quality Time-varying copulas a b s t r a c t This paper investigates the dependence pattern between stock and long-term government bond returns for a wide range of developed countries over the last two decades by using a dynamic DCC-GARCH-copula model. This approach allows obtaining a flexible and comprehensive description of the time variation in the linkage between stock and bond markets.The empirical results show that the dependence structure between stock and 10-year government bond returns varies significantly over time for most countries. In particular, a positive stock-bond association is observed during the 1990s, while the relationship becomes negative from the early 2000s, supporting the presence of flight-to-quality effects. In addition, no evidence of asymmetric and tail dependence is found for the vast majority of countries.

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“…In addition, the stock price value of the capital market comes to the core consideration for investing such fund (Bian, Lin, & Liu, 2018). The stock prices are not only influenced by economic factors and domestic phenomena, but external factors outside the country is very influential on the performance of sharia stocks also (Aloui, Hammoudeh, & Hamida, 2015;Azizah, Satria, & Wahyudi, 2016;Dash & Maitra, 2018).…”

Section: Discussing the Capital Marketmentioning

confidence: 99%

Macroeconomic Variables on Indonesian Sharia Capital Market

Nugroho¹,

Rusydiana²

2019

Shirkah

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This article emphasizes to analyze the effect of macroeconomic variables on sharia capital market in Indonesia by using Vector Error Correlation Model (VECM) approach method. The variables used are world oil price, Industry Production Index (IPI) Currency Exchange Rate to Dollar and Consumer Price Index (CPI) in Indonesia. The research show that in the Indonesian Stock Sharia Index (ISSI) model, the VECM in the ISSI model can explain in the short term the IPI variable, world oil price, rupiah to dollar, DJIA and CPI does not affect to ISSI variable. While in the long term, world oil prices are positive climate and Dow Jones Industrial Average (DJIA) variables negatively affect ISSI. In addition, FEVD test the world oil price has more dominant contribution than other variable 6.02%. Keywords: sharia capital market, macroeconomics, VECM, ISSI

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Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries

Cited by 67 publications

References 65 publications

Dynamic correlations and volatility linkages between stocks and sukuk: Evidence from international markets

Dynamic correlations and volatility linkages between stocks and sukuk: Evidence from international markets

Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas

Macroeconomic Variables on Indonesian Sharia Capital Market

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