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Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?
16 references·5 citing·44 second hopsampled
Do global financial distress and uncertainties impact GCC and global sukuk return dynamics? (2016)Do global financial distress and uncertai…Financial tail risks in conventional and Islamic stock markets: A comparative analysis (2016)Financial tail risks in conve…International economic policy uncertainty and stock prices: Wavelet approach (2015)International economic policy…Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market (2015)Economic policy uncertainty s…Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach (2015)Do global risk factors and ma…Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries (2014)Global factors driving struct…Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors (2014)Dynamic dependence of the glo…Do global factors impact BRICS stock markets? A quantile regression approach (2014)Do global factors impact BRIC…Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis (2014)Co-movement between sharia st…How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests (2013)How strong are the causal rel…Dynamic co-movements of stock market returns, implied volatility and policy uncertainty (2013)Dynamic co-movements of stock…The structure and degree of dependence: A quantile regression approach (2012)The structure and degree of d…Causality in quantiles and dynamic stock return–volume relations (2009)Causality in quantiles and dy…Commonality in the time-variation of stock–stock and stock–bond return comovements (2006)Commonality in the time-varia…Numerical distribution functions for unit root and cointegration tests (1996)Numerical distribution functi…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The connectedness of oil shocks, green bonds, sukuks and conventional bonds (2023)The connectedness of oil shoc…Sukuk versus bonds: New evidence from the primary market (2022)Sukuk versus bonds: New evide…Did green debt instruments aid diversification during the COVID-19 pandemic? (2022)Did green debt instruments ai…Do sukuk spur infrastructure development? (2021)Do sukuk spur infrastructure …Exploring international economic integration through sukuk market connectivity: A network perspective (2017)Exploring international econo…Uncertainty about Government Policy and Stock Prices (2012)Political uncertainty and risk premia (2013)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Can economic policy uncertainty predict stock returns? Global evidence (2018)Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach (2019)Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike? (2019)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations (2016)Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model (2017)Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017)An Introduction to Copulas (1999)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Market Liquidity and Funding Liquidity (2008)Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test (2016)Asymmetric effects of geopolitical risks on energy returns and volatility under different market conditions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Unit root tests for panel data (2001)Critical Values for Cointegration Tests (2010)Dynamic Conditional Correlation (2002)The Impact of Uncertainty Shocks (2009)Dynamic spillovers of oil price shocks and economic policy uncertainty (2014)Economic policy uncertainty and stock market volatility (2015)Economic policy uncertainty and stock markets: Long-run evidence from the US (2016)Measuring Economic Policy Uncertainty* (2016)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Corporate governance in Islamic banks: New insights for dual board structure and agency relationships (2017)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach (2016)Analyzing time-varying volatility spillovers between the crude oil markets using a new method (2020)Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications (2017)Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis (2017)Dynamic connectedness between oil prices and stock returns of clean energy and technology companies (2020)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
  • 2013Dynamic co-movements of stock market returns, implied volatility and policy uncertainty553 cited
  • 2014Do global factors impact BRICS stock markets? A quantile regression approach430 cited
  • 2015International economic policy uncertainty and stock prices: Wavelet approach329 cited
  • 2009Causality in quantiles and dynamic stock return–volume relations275 cited
  • 2013How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests249 cited
  • 2012The structure and degree of dependence: A quantile regression approach210 cited
  • 2014Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors209 cited
  • 2006Commonality in the time-variation of stock–stock and stock–bond return comovements156 cited
  • 2015Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market129 cited
  • 2014Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis128 cited
  • 2015Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach

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114 cited
  • 2014Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries83 cited
  • 2016Financial tail risks in conventional and Islamic stock markets: A comparative analysis59 cited
  • Cited by

    • 2023The connectedness of oil shocks, green bonds, sukuks and conventional bonds77 cited
    • 2022Did green debt instruments aid diversification during the COVID-19 pandemic?31 cited
    • 2022Sukuk versus bonds: New evidence from the primary market21 cited
    • 2021Do sukuk spur infrastructure development?20 cited
    • 2017Exploring international economic integration through sukuk market connectivity: A network perspective20 cited