Predictability and co-movement relationships between conventional and Islamic stock market indexes: A multiscale exploration using wavelets

Saâdaoui, Foued; Naifar, Nader; Aldohaiman, Mohamed S.

doi:10.1016/j.physa.2017.04.074

Cited by 43 publications

(36 citation statements)

References 39 publications

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“…They concluded that the GCC Islamic index exhibited similar attributes as the conventional indices in the analysis periods. A different empirical work by Saâdaoui et al (2017) used wavelets analysis (considered a nonclassical econometric technique) to investigate the dynamic relationship between conventional and Islamic stock markets with the main aim of finding local microscopic signs of convergence or divergence. Their findings show the sensibility of Islamic stock returns to the global financial crisis is different than conventional IES 29,1 stock returns across markets and time scales.…”

Section: Islamic Equities and Covid-19 Pandemicmentioning

confidence: 99%

“…Works that show a low correlation between Islamic and conventional indexes during a crisis, such as that of Arshad (2014), andSaâdaoui et al (2017), were conducted using data with a time range that included the 2009 crisis, which was predominantly a financial sector crisis, unlike the all-encompassing COVID-19 pandemic. Works such as that of Miniaoui et al (2015) on the responses of the Islamic index during the 2009 crisis show mixed results.…”

Section: Islamic Equities and Covid-19 Pandemicmentioning

confidence: 99%

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Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis

Abdullahi

2021

IES

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PurposeThe purpose of the study is to measure cross-country stock market correlation and volatility transmission during the global coronavirus disease 2019 (COVID-19) pandemic. The paper traces trajectory of Islamic equity investments in order to get insights on the behavior of the markets during the crisis.Design/methodology/approachThe paper uses generalized method of moments (GMM), autoregressive distributed lag (ARDL) and multivariate GARCH (MGARCH) models for analysis of dynamic causality, stock market cointegration, correlation and volatility transmission between Islamic stock indices.FindingsThe result of normal correlation analysis on the share indices show the markets move together. The result of ARDL cointegration test shows the markets returns are cointegrated as a group. To further make sense of the data; the indices were grouped into four different categories, then cointegration tests were conducted. The results of the analysis show that the subgroups are cointegrated except the low COVID-19 subgroup. Based on MGARCH findings, the possibility of volatility transmission between markets during the crisis is high. The market returns indices show the usual herd mentality common during the period of crisis.Originality/valueUnlike other works in this area, this paper attempt to trace the trajectory of Islamic equity investment in order to get relevant insights and arrives at appropriate ways of responding to the crisis.

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Section: Islamic Equities and Covid-19 Pandemicmentioning

confidence: 99%

Section: Islamic Equities and Covid-19 Pandemicmentioning

confidence: 99%

Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis

Abdullahi

2021

IES

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“…Analysis of co-movements and Granger causality across frequencies attracts a special attention in much of the contemporary theoretical and empirical research in finance with regards to analysis on contagion, volatility spillovers, predictability, bubbles, and crashes (e.g., Wang et al 2017 ; Saâdaoui et al 2017 ; Rehman and Apergis 2019 ; Bouri et al 2019 ). 1 In recent times, the finance literature has increasingly borrowed estimation techniques from physics—i.e.…”

Section: Introductionmentioning

confidence: 99%

High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

et al. 2021

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This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min—data. Empirical RWCC results indicate mostly positive co-movements and long-term memory between the cryptocurrencies, especially between Bitcoin, Ethereum, and Monero. The nonlinear Granger causality tests reveal dual causation between most of the cryptocurrency pairs. We advance evidence to improve portfolio risk assessment, and hedging strategies.

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“…Stream 5 examines the performance of Islamic financial markets vis-à-vis conventional markets (Ho et al , 2014; Hoepner et al , 2011; Jawadi et al , 2014), risk-return charecteristics of Islamic equity markets (Dewandaru et al , 2015; Hayat and Kraeussl, 2011; Kabir et al , 2017; Safiullah and Shamsuddin, 2019; Alaoui et al , 2015; Balcilar et al , 2016), contegion and spillover effect (Dewandaru et al , 2017; Dewandaru et al , 2014; Saâdaoui et al , 2017; Kenourgios et al , 2016; Majdoub and Mansour, 2014; Shahzad et al , 2017; Rejeb, 2017; Haddad et al , 2020; Gad and Andrikopoulos, 2019; Trabelsi, 2019; Sclip et al , 2016; Ahmed and Elsayed, 2018; Aloui et al , 2018) and choice of sukuk over conventional bonds (Godlewski et al , 2013; Alam et al , 2013; Azmat et al , 2014a; Godlewski et al , 2016; Grassa and Hela, 2018; Klein and Weill, 2016).…”

Section: Resultsmentioning

confidence: 99%

Influential and intellectual structure of Islamic finance: a bibliometric review

Alshater

Hassan

Khan

et al. 2020

IMEFM

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Purpose Islamic finance is an alternative approach of financial intermediation based on risk-sharing and asset-backed operations, which evolved substantially in recent years in academic research raising the need for quantitative studies to address the intellectual development and scientific performance of this field. This study aims to provide quantitative statistics and comprehensive review of the key influential and intellectual structure of Islamic finance literature. Design/methodology/approach The authors apply the trending and cutting-edge quali-quantitative approach of bibliometric citation analysis. This study reviews 1,940 English studies and review papers published in scientific journals indexed by the Scopus database from 1983 to 2019. RStudio, VOSviewer and Excel’s software are used to analyze the collected data and apply the bibliometric tests. Findings The results identify the leading academic authors, journals, institutions and countries with relation to Islamic finance. The authors also propose six main research themes in this field, which are as follows: Islamic finance – fundamentals, growth and legitimacy; customer’s attitude and perception toward Islamic finance; accounting and social reporting of Islamic finance; performance and risk management of Islamic finance; Islamic financial markets; and efficiency of Islamic financial institutions. Lastly, the authors identify research gaps in the existing Islamic finance literature and present 24 future research directions. Research limitations/implications The data in this study is confined only to the Scopus database of English papers and reviews. It also considers papers directly related to the field of Islamic finance. Originality/value To the best of the authors’ knowledge, this paper is one of the first to address the literature of Islamic finance from a bibliometric aspect. The results of this study along with future research questions will help researchers and practitioners to further explore and stand on firm quantitative bases regarding the scientific development of Islamic finance.

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Predictability and co-movement relationships between conventional and Islamic stock market indexes: A multiscale exploration using wavelets

Cited by 43 publications

References 39 publications

Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis

Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis

High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

Influential and intellectual structure of Islamic finance: a bibliometric review

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