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Financial integration between sukuk and bond indices of emerging markets: Insights from wavelet coherence and multivariate-GARCH analysis
16 references·12 citing·39 second hop
Financial integration between sukuk and bond indices of emerging markets: Insights from wavelet coherence and multivariate-GARCH analysis (2017)Financial integration between sukuk and b…Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis (2015)Testing the Conventional and …Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis (2014)Co-movement between sharia st…Sukuk vs. conventional bonds: A stock market perspective (2013)Sukuk vs. conventional bonds:…Are Islamic bonds different from conventional bonds? International evidence from capital market tests (2013)Are Islamic bonds different f…International stock market indices comovements: a new look (2011)International stock market in…Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Co-movement of energy commodi…The global financial crisis and its implications for the Islamic financial industry (2010)The global financial crisis a…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Decoupling (2002)DecouplingAn Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…International Market Correlation and Volatility (1996)International Market Correlat…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Why Don't the Prices of Stocks and Bonds Move Together? 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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 2011Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis498 cited
  • 1996International Market Correlation and Volatility468 cited
  • 2013Sukuk vs. conventional bonds: A stock market perspective243 cited
  • 1986Why Don't the Prices of Stocks and Bonds Move Together?167 cited
  • 2011International stock market indices comovements: a new look159 cited
  • 2002Decoupling151 cited
  • 2013Are Islamic bonds different from conventional bonds? International evidence from capital market tests145 cited
  • 2010The global financial crisis and its implications for the Islamic financial industry132 cited
  • 2014

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Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis
128 cited
  • 2015Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis113 cited
  • Cited by

    • 2018The contracts, structures and pricing mechanisms of sukuk: A critical assessment62 cited
    • 2022An empirical investigation of market risk, dependence structure, and portfolio management between green bonds and international financial markets53 cited
    • 2021The connectedness between Sukuk and conventional bond markets and the implications for investors48 cited
    • 2020Comparative analysis between global sukuk and bond indices: value-at-risk approach36 cited
    • 2019Co-movement dynamics between global sukuk and bond markets34 cited
    • 2022Spillovers on sectoral sukuk returns: evidence from country level analysis31 cited
    • 2020Why do sukuks (Islamic bonds) need a different pricing model?30 cited
    • 2021A comprehensive empirical and theoretical literature survey of Islamic bonds (sukuk)29 cited
    • 2021Dynamic diversification benefits of Sukuk and conventional bonds for the financial performance of MENA region companies: empirical evidence from COVID-19 pandemic period25 cited
    • 2020How integrated are cryptocurrencies21 cited
    • 2022International issuance of Sukuk and companies' systematic risk: An empirical study16 cited
    • 2022Assessing the impact of media sentiment on the returns of sukuks during the Covid-19 crisis15 cited