Artikel
Asymmetric return and volatility transmission in conventional and Islamic equities
This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion effect. We analyse the intra-market and inter-market spillover among Islamic and conventional equities across three major markets: the USA, the United Kingdom and Japan. Our sample period ranges from 1996 to 2015. In addition, we segregate our sample period into three sub-periods covering prior to the 2007 financial crisis, the crisis period and the post-crisis period. We find weak support for the decoupling hypothesis during the post-crisis period.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 5 ; Year: 2017 ; Issue: 2 ; Pages: 1-18 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Financial Crises
General Financial Markets: General (includes Measurement and Data)
International Financial Markets
- Thema
-
Islamic stock market
conventional stock markets
asymmetric return and volatility spillovers
EGARCH
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Umar, Zaghum
Suleman, Tahir
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2017
- DOI
-
doi:10.3390/risks5020022
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Umar, Zaghum
- Suleman, Tahir
- MDPI
Entstanden
- 2017
Ähnliche Objekte (12)
Islamic and conventional equity index co-movement and volatility transmission: Evidence from Pakistan
Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets: Evidence from developed and emerging countries
Islamic financial system and conventional banking: A comparison
Asymmetric information about volatility and option markets
Volatility modeling and dependence structure of ESG and conventional investments
Asymmetric realized volatility risk
Asymmetric Realized Volatility Risk
Islamic and conventional bank market value: Manager behavior and investor sentiment
Inflation and output volatility under asymmetric incomplete information
Modeling the interaction across international conventional and Islamic stock indices
The Transmission of Monetary Policy through Conventional and Islamic Banks
Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and Forecasting
Islamic and conventional equity index co-movement and volatility transmission: Evidence from Pakistan
Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets: Evidence from developed and emerging countries
Islamic financial system and conventional banking: A comparison
Asymmetric information about volatility and option markets
Volatility modeling and dependence structure of ESG and conventional investments
Asymmetric realized volatility risk
Asymmetric Realized Volatility Risk
Islamic and conventional bank market value: Manager behavior and investor sentiment
Inflation and output volatility under asymmetric incomplete information
Modeling the interaction across international conventional and Islamic stock indices
The Transmission of Monetary Policy through Conventional and Islamic Banks
Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and Forecasting
Islamic and conventional equity index co-movement and volatility transmission: Evidence from Pakistan
Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets: Evidence from developed and emerging countries
Islamic financial system and conventional banking: A comparison
Asymmetric information about volatility and option markets
Volatility modeling and dependence structure of ESG and conventional investments
Asymmetric realized volatility risk
Asymmetric Realized Volatility Risk
Islamic and conventional bank market value: Manager behavior and investor sentiment
Inflation and output volatility under asymmetric incomplete information
Modeling the interaction across international conventional and Islamic stock indices
The Transmission of Monetary Policy through Conventional and Islamic Banks