Spillovers and the determinants in Islamic equity markets

Balli, Faruk and Anne de Bruin, Anne de and Chowdhury, Md Iftekhar Hasan,(2019), Spillovers and the determinants in Islamic equity markets. , North American Journal of Economics and Finance, UNSPECIFIED

[thumbnail of Spillovers and The Determinat Balli.pdf] Text
Restricted to Repository staff only

Download (1MB) | Request a copy


We investigate pair-wise, net and total return and volatility spillovers across 15 Islamic equity markets from widely dispersed locations. Using the generalized VAR-based spillovers index between 2007 and 2017, we find increasing interactions in return and volatility spillovers while the extent of spillovers has been asymmetric across the countries. Interestingly, we find the presence of persistent clustering of spillovers (viz., Qatar - UAE - Saudi Arabia and Turkey - Malaysia - Indonesia). These clustered countries lead Islamic equity return and volatility spillovers in their respective regions. We do not find any supremacy of the cash and oil-rich GCC countries outside their region. Our results also highlight that in crises periods, aggregate spillovers across the Islamic equity markets intensify. Additionally, we employ cross-section analyses to investigate the underlying macroeconomic variables influencing the magnitude of such spillovers. We find convincing evidence of geographic proximity along with economic and financial linkages that explain the directions of return and volatility spillovers.
Keywords : Islamic equity markets Return and volatility spillovers Market integration, UNSPECIFIED
Journal or Publication Title: North American Journal of Economics and Finance
Volume: 50
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Nila Nurjanah
Date Deposited: 20 Dec 2019 03:39
Last Modified: 20 Dec 2019 03:39
URI: https://repofeb.undip.ac.id/id/eprint/523

Actions (login required)

View Item
View Item