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
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Abstract
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 |
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Journal or Publication Title: | North American Journal of Economics and Finance |
Volume: | 50 |
Number: | UNSPECIFIED |
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 |