Usman, Muhammad and Jibran, Muhammad Ali Qamar and Amir-ud-Din, Rafi and Akhter, Waheed,(2019), Decoupling hypothesis of Islamic stocks: Evidence from copula CoVaR approach. , Borsa Istanbul Review, UNSPECIFIED
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Abstract
This paper studies the dependence structure between Islamic and conventional stocks in five countries (USA, UK, Japan, Malaysia and
Pakistan) using the copula CoVaR approach for the period 2004e2016. Results from the copula models show that, for four countries, the Islamic
stocks are upper tail dependent and lower tail independent with conventional stocks. While for one country, Islamic stocks are lower tail
dependent with the conventional stocks without having upper dependence. We also find that dependence structure between Islamic and conventional
stocks is time varying for all the countries. We also estimate the CoVaR for conventional stocks conditional on Islamic stocks being at
their VaR. The results show the diversification benefits of the Islamic stocks and investors can use Islamic finance instruments for hedging. We
then test for the asymmetry of upside and downside risks and find that there is an asymmetry between upside and downside risks.
Copyright © 2018, Borsa _Istanbul Anonim S¸ irketi. Production and hosting by Elsevier B.V. This is an open access article under the CC BY-NCND
license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
Keywords : | Islamic stocks; Risk spillovers; Copula CoVaR, UNSPECIFIED |
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Journal or Publication Title: | Borsa Istanbul Review |
Volume: | 19 |
Number: | UNSPECIFIED |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Nila Nurjanah |
Date Deposited: | 17 Dec 2019 05:04 |
Last Modified: | 27 Dec 2019 08:10 |
URI: | https://repofeb.undip.ac.id/id/eprint/311 |