Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries

doi:10.26501/jibm/2017.0701-006

Cited by 3 publications

(2 citation statements)

References 60 publications

(78 reference statements)

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“…For instance, Majdoub and Mansour (2014) argue that there is no evidence of spillover between the US market and a sample of five Islamic emerging markets (Indonesia, Malaysia, Pakistan, Qatar and Turkey). Similarly, Sahar et al (2017) point out that there is no clear evidence of spillover from developed markets (the USA, UK and Japan) to countries with a majority Muslim population (i.e. Egypt, Indonesia, Jordan, Kuwait, Lebanon, Morocco, Pakistan, Tunisia and Turkey).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Notably, the financial contagion and volatility transmission between Islamic and conventional financial markets are well documented (i.e. Abdul Karim et al , 2011; Majdoub and Mansour, 2014; Abdullah et al , 2016; Nagayev et al , 2016; Sahar et al , 2017; Louhichi et al , 2019). Specifically, some studies focus on the effect of the month of Ramadan on the performance and volatility of stock markets in Muslim countries.…”

Section: Introductionmentioning

confidence: 99%

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The Ramadan effect on commodity and stock markets integration

Amar

Goutte

Hasnaoui

et al. 2023

RAF

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Purpose This study aims to investigate the dependence structure and volatility spillovers among two strategic commodities (crude oil and gold) and a set of Islamic and conventional regional stock market indices, while examining the Ramadan effect Design/methodology/approach The empirical strategy consists of two complementary measures of dependence and connectedness. This study first uses copulas to examine the dependency between the markets considered, then spillovers compute the magnitude of the connectedness among them. Findings The copulas analysis shows that Frank’s copula appears to better capture the relationship between most asset returns and highlights the almost absence of extreme dependence and, therefore, the existence of diversification opportunities. Moreover, the connectedness analysis suggests that gold is a net volatility receiver and provides, thereby, greater diversification benefits compared to crude oil. In addition, the high levels of time-varying connectedness support strong integration among the financial markets studied, specifically during the COVID-19 crisis period. Furthermore, the connectedness among the markets studied increases during the Ramdan subperiods, supporting shift contagion among financial markets considered during this religious holiday. Practical implications The results provide investors with a better understanding of the nature as well as the magnitude of the interdependences between commodity markets and a set of Islamic and conventional regional stock markets. Indeed, it is of paramount importance for investors to clearly understand how Islamic and conventional markets are segmented or integrated during stress and stress-free periods, as well as the effect of the month of Ramadan on the interdependence among markets, to better assess risks, diversify portfolios and implement more effective hedging strategies. Originality/value While a considerable body of literature examines financial contagion and volatility transmission between financial markets, there is still much to be said regarding connectedness among commodity and stock markets, particularly when it comes to studying the effects of religious holidays on the interaction between conventional and Islamic assets. This paper fills in this gap by focusing on the dependence structure as well as the connectedness between Islamic stock indices, conventional stock indices, gold and crude oil for six different regions, while examining the Ramadan effect.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

The Ramadan effect on commodity and stock markets integration

Amar

Goutte

Hasnaoui

et al. 2023

RAF

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Return and Volatility Spillovers Between Turkish and World Equity Markets: Spillover Index Approach

Ergün

Karabıyık

2020

Yönetim Ve Ekonomi Dergisi

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The purpose of this study is to examine the volatility and return spillover effect in the stock indices of 19 developed and developing market economies during the period between January 2000 and June 2019, and it is also aimed to examine the findings specifically for Turkish stock exchange market (Borsa Istanbul). In the study, spillover index method of Diebold and Yılmaz (2009) is used and as a result, it is found that the USA and the UK have the highest spillover effect among other countries. On the other hand, the net effect spillover from Turkey to other and from other countries to Turkey are not at their high levels compared to others. In Turkey, return on equity markets and price volatility stems mainly from its internal shocks. Finally, it has been concluded that total spillover has increased in the crucial global events such as Mortgage crisis, Lehman Brothers bankruptcy, and Brexit referendum where financial stress is at its highest level.

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Correlation of stock market returns in the West African region from 2008 to 2016

Obadiaru

Omankhanlen

Obasaju

et al. 2019

Investment Management and Financial Innovations

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Stock markets over the world have become more interconnected due to activities of foreign investors in search for alternative financial assets and markets to invest in order to diversify their portfolio. Stock market indices and index returns have been known to reflect linkages between different markets. This study assesses the extent of correlation of stock market index returns in West Africa and those of the United States of America (US) and United Kingdom (UK) from 2008 to 2016. The correlation between the index returns for the entire sample period and yearly samples were considered for Nigeria, Ghana, the BRVM, the USA and the UK. The indices selected for the five countries considered are the Nigerian All-Share Index, Ghanaian Composite Index, the BRVM Composite Index, the Financial Times 100 Index and the Standards and Poor’s 500 Index. Daily index returns data were used for the study and analyzed using correlation and multiple regression analysis. Findings revealed that the returns of the pairs of the United States of America (US) and the United Kingdom (UK) exhibited stronger positive correlation with each other than the other market pairs in the study both in the entire sample period and the yearly sub-period analysis. The correlations between the other market pairs were either positively or negatively weak or very weak indicating more diversification opportunities.

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Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries

Cited by 3 publications

References 60 publications

The Ramadan effect on commodity and stock markets integration

The Ramadan effect on commodity and stock markets integration

Return and Volatility Spillovers Between Turkish and World Equity Markets: Spillover Index Approach

Correlation of stock market returns in the West African region from 2008 to 2016

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