Modelling the directional spillovers from DJIM Index to conventional benchmarks: Different this time?

Ahmad, Wasim; Rais, Shirin; Shaik, Abdul Rahman

doi:10.1016/j.qref.2017.04.012

Cited by 31 publications

(17 citation statements)

References 40 publications

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“…Thus, Islamic equity investments do not offer any safe-haven avenues for the G7 conventional equity investors in the full sample analysis. Our results corroborate with Ahmad et al (2018), Rejeb (2017), Naifar (2016), andRazak et al (2016), those also found a positive dependence structure between Islamic and conventional equity investment using a variety of equity indices for both investment types.…”

Section: Cross-quantilogram Analysissupporting

confidence: 92%

“…disconnection between Islamic and conventional stock in lower return quantiles also confirms the decoupling hypothesis, which suggest that these investments take opposing paths during bearish market conditions (Ahmad et al, 2018, Hkiri et al, 2017. Lastly, the decoupling of the two investment types continues to hold when we consider longer lag lengths of a weak and month period.…”

Section: Cross-quantilogram Analysissupporting

confidence: 67%

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Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?

Arif

Naeem

Hasan

et al. 2021

Economic Research-Ekonomska Istraživanja

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This study draws a comparison between the Global Financial Crisis (GFC) and the COVID-19 pandemic crisis to assess the safehaven potential of Islamic stocks for G7 stock markets. We employ the cross-quantilogram framework of Han et al., which considers the non-linearity in the relationship, and thus captures the correlation between the Islamic and G7 stock markets across various quantiles reflecting different market conditions. The analysis also includes the time-varying cross-quantile correlation to observe the evolution of Islamic stocks' safe-haven potential. Our full sample analysis shows that Islamic stocks do not exhibit safe-haven properties for G7 stock markets. During the GFC period, Islamic stocks show some diversification benefits for the G7 stock markets. Notably, Islamic stocks emerged as a robust safe-haven asset for the G7 stock markets during the pandemic crisis. The study carries essential insights for equity investors and regulators of G7 and other countries to implement diversification/hedging strategies that would involve Islamic stocks to protect equity investments and the overall financial system amid the financial downturns.

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Section: Cross-quantilogram Analysissupporting

confidence: 92%

Section: Cross-quantilogram Analysissupporting

confidence: 67%

Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?

Arif

Naeem

Hasan

et al. 2021

Economic Research-Ekonomska Istraživanja

View full text Add to dashboard Cite

show abstract

“…On the other hand, another branch of papers is focused on dynamic interdependencies among conventional and Islamic portfolios. Thus, [9] analyzed the financial performance and the directional interdependence of Islamic and conventional stock indices. These authors found that there is an appreciable level of directional interdependence between both types of stock indices.…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

González¹,

Jareño²,

Haddouti³

2019

Sustainability

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This study compares the performance of sector portfolios from Islamic and conventional stock markets, using standard as well as current performance measures for a recent sample period between January 1996 and December 2015. Furthermore, to test the robustness of our analysis and to determine which type of portfolios offer better performance depending on the economic cycle, the full sample period is divided into three sub-sample periods: Before, during and after the recent global financial crisis. The three main outcomes of this research confirm that, first, the sector with the best performance results is Health Care, while the sector with the worst performance results is Financials for the Islamic as well as the conventional stock market. Second, the post-crisis sub-period exhibits the best performance not only in conventional but also in Islamic markets, confirming that portfolio performance depends on the economic stage and highlighting emerging signs of economic recovery. Third, Islamic sector portfolios, as a whole, show better performance than conventional sector portfolios for all performance measures—not just for the full period but also for the three sub-sample periods. The superior risk-adjusted returns of the Islamic sector portfolios, even during the recent global financial crisis, can be justified, among other reasons, by the moderated uncertainty and speculation, as well as the fact that Islamic finance prevents interest rates that have a negative impact on the economy. Thus, Sharia-compliant assets can contribute to improving the sustainability of unattractive performance portfolios during financial crises.

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“…First, we estimate MGARCH models for natural gas, heating oil, conventional gasoline, crude oil, and propane, where we pair each of them independently with SPGCE and SPGO. In contrast to many previous studies on energy markets that use symmetric MGARCH models, such as the symmetric BEKK MGARCH model (e.g., Abdallah and Ghorbela (2018), Sarwar et al (2019), and Batten et al (2019)) or the symmetric dynamic conditional correlation (DCC) MGARCH model (e.g., Dutta et al (2020), Ahmad, Rais, et al (2018), Maghyereh et al (2019), and Kumar (2014)), we employ the asymmetric BEKK MGARCH model (Kroner and Ng, 1998), where "bad news" emanating from energy markets, SPGCE, or SPGO differs in effect from "good news." In other words, the asymmetric BEKK model determines how sensitive the volatility spillover between SPGCE stocks, SPGO stocks, and energy commodities is to (positive or negative) news.…”

Section: Introductionmentioning

confidence: 94%

Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies

2021

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Modelling the directional spillovers from DJIM Index to conventional benchmarks: Different this time?

Cited by 31 publications

References 40 publications

Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?

Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies

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