Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis

Aloui, Chaker; Hkiri, Besma; Lau, Chi Keung Marco; Yarovaya, Larisa

doi:10.1016/j.frl.2016.06.002

Cited by 49 publications

(17 citation statements)

References 15 publications

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“…In contrast, other groups of research found differences suggesting that Islamic stocks have a linear relationship with conventional stock markets (Ajmi et al, 2014;Najeeb et al, 2015;Aloui et al, 2016). Ajmi et al (2014) found evidence of a strong linear and nonlinear relationship between Islamic and conventional equity markets.…”

Section: Islamic Equities and Commoditiesmentioning

confidence: 82%

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Nexus between risk sharing vs non-risk sharing financing and economic growth of Bangladesh

Chowdhury

Akbar²,

Shoyeb

2018

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and finally, Quoc Cuong Phan and Taha Bhatti for the excellent research assistance in managing some of the papers in this issue. 646 MF 44,6 regarding the effect of these two variables to risk exposure and efficacy of both Islamic and conventional banking systems. In order to add more value to current literature with reference to the differences between Islamic and conventional banking systems, Bougatef and Korbi aimed to study the factors that explain intermediation margins under both Islamic and conventional banks operating in the Middle East and North Africa. By using the dynamic panel modeling approach, they revealed different determinants of net profit margins under these two systems. Utilizing various methodologies including Markowitz's (1952) portfolio optimization, visual data representations and the classic Fama-Macbeth (1973) two-pass procedure regressions, Cheong investigated the ability of the Islamic Gold Dinar to hedge against foreign exchange market volatility. His findings documented a new hedging instrument to diversify investors' currency portfolios. In the later article, Chowdhury, Akbar and Mohammad examined the relationship between Islamic financing principles and economic growth in Bangladesh using auto regressive distributive lags. Having considered all annual reports of Islamic banks in Bangladesh, this group of authors shed light on how the economic growth responds to the risk sharing and non-risk sharing instruments. In the wake of the GFC, predicting financial distress in banking systems has been increasingly more critical in order to prevent future economic downturns. In their paper, Halteh and his co-authors; Kumar and Gepp aimed to forecast the failure by using cutting-edge stochastic models including decision trees, stochastic gradient boosting and random forests to study 101 international publicly listed Islamic banks. Their findings add value to the literature on the issue of Islamic banking and predicting financial distress. To examine the differences in investors' perceptions concerning the response to the issuance of Sukuk and conventional bonds, Hassan, Ahmed and Rayfield observed significantly negative abnormal returns before and after the announcement date of Sukuk issuance. By utilizing linear and logistic regression models, they found an interesting connection: first, between firms' characteristics and these abnormal returns; and second, issuers' preferences between issuing Sukuk and conventional bonds. Mahmood, Gan and Nguyen, by utilizing the two-step system GMM estimation technique on 55 full-fledged Islamic banks from 11 different countries, have analyzed various factors at both firm-specific and macroeconomic levels, in order to explore their impacts on maturity transformation risk. This paper makes an important contribution to studying maturity transformation risk which is considered one of the major causes of the global financial crisis. Md Zabri and Mohammed examined the acceptability of the Cash Waqf-financial cooperative-Musharakah Mutanaqisah (MM) home financing...

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Section: Islamic Equities and Commoditiesmentioning

confidence: 82%

“…As for long investment horizons exceeding one year, strong correlations will reduce portfolio diversification benefits. Furthermore, the recent study by Aloui et al (2016) concluded that Shariah principles have no rule on the linkages between sentiment and Islamic equity.…”

Section: Islamic Equities and Commoditiesmentioning

confidence: 99%

Nexus between risk sharing vs non-risk sharing financing and economic growth of Bangladesh

Chowdhury

Akbar²,

Shoyeb

2018

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“…While many studies are examining the effect of investor attention and/or sentiment on stock returns in conventional markets, it is remarkable that the studies on Islamic markets are limited in number (Aloui et al, 2016;Ftiti & Hadhri, 2019;Khan et al, 2019;Perez-Liston et al, 2016). Accordingly, Perez-Liston et al (2016) and Aloui et al (2016) identified a positive relationship between Islamic stock returns and investor sentiment. Ftiti and Hadhri (2019) indicated that the information about investor sentiment in the ambiguity of economy is useful in estimating Islamic stock returns.…”

Section: Literature Examining Investor Sentiment and Google Searchesmentioning

confidence: 99%

Predicting financial market returns in the presence of health crisis: evidence from conventional and Islamic stock markets

Tuna

2021

Economic Research-Ekonomska Istraživanja

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The purpose of this study is to examine the usability of the news about the COVID-19 outbreak as a predictor in financial markets. Index values of 11 different sectors in conventional and Islamic stock markets and the index values obtained from COVID-19 deaths, COVID-19 cases and health news were used for this purpose. News variables indices were calculated through Google search volume (G.S.V.) values obtained from Google trend. The daily data between 19 March 2020 and 27 July 2020 were used in the study for 25 index values in total. Regression analysis was used in the study. According to the study results, COVID-19 deaths, COVID-19 cases and health news used as predictors have higher performance than historical return values in all sectors of both conventional and Islamic financial markets. In addition, Islamic stock markets show more attention to the news about the COVID-19 outbreak than conventional stock markets. Accordingly, COVID-19 deaths, COVID-19 cases and health news can be used as effective predictors in Islamic financial markets.

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“…Hussein (2007) rejects the assumption that investment in Islamic indices would lead investors to earn lower returns. Aloui, Hkiri, Lau, and Yarovaya (2016) confirm the resemblance between Islamic and conventional investments using the wavelet coherence technique. They show that the Islamic equity returns do not behave differently from their conventional counterparts.…”

Section: Literature Reviewmentioning

confidence: 74%

Harvesting Islamic risk premium with long–short strategies: A time scale decomposition using the wavelet theory

Ahroum¹,

Achchab²

2019

Int. J Fin Econ

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The impact of the Islamic screening on the performance of stock and sukuk investments is subject of a serious debate. The aim of this paper is to contribute to the ongoing studies on Islamic markets by giving new insights about characteristics of the Islamic risk premium. To attempt this objective, we adopt a risk premia methodology using long–short strategies and a time scale decomposition to find out the scale and the intensity degree of this effect over time. Furthermore, we consider the Islamic risk premium as a market factor. Wavelet analysis results in Malaysia highlight the presence of the Islamic effect at low frequency bands and a higher intensity among the corporate debt market. However, this approach's effectiveness is conditioned to the existence of Islamic and conventional benchmarks.

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Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis

Cited by 49 publications

References 15 publications

Nexus between risk sharing vs non-risk sharing financing and economic growth of Bangladesh

Nexus between risk sharing vs non-risk sharing financing and economic growth of Bangladesh

Predicting financial market returns in the presence of health crisis: evidence from conventional and Islamic stock markets

Harvesting Islamic risk premium with long–short strategies: A time scale decomposition using the wavelet theory

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