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Decoupling hypothesis of Islamic stocks: Evidence from copula CoVaR approach
16 references·6 citing·42 second hop
Decoupling hypothesis of Islamic stocks: Evidence from copula CoVaR approach (2018)Decoupling hypothesis of Islamic stocks: …Extreme dependence and risk spillovers between oil and Islamic stock markets (2017)Extreme dependence and risk s…On the dynamic links between commodities and Islamic equity (2016)On the dynamic links between …Do the type of sukuk and choice of shari’a scholar matter? (2016)Do the type of sukuk and choi…A Survival Analysis of Islamic and Conventional Banks (2016)A Survival Analysis of Islami…Islamic equity market integration and volatility spillover between emerging and US stock markets (2014)Islamic equity market integra…Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors (2014)Dynamic dependence of the glo…Risk in Islamic Banking (2013)Risk in Islamic BankingRisk in Islamic Banking (2013)Risk in Islamic BankingPerformance of global Islamic versus conventional share indices: International evidence (2013)Performance of global Islamic…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…Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach (2013)Do Islamic stock indexes outp…Conventional and Islamic stock price performance: An empirical investigation (2013)Conventional and Islamic stoc…Are Islamic bonds different from conventional bonds? International evidence from capital market tests (2013)Are Islamic bonds different f…Long‐run relationship between Islamic stock returns and macroeconomic variables (2009)Long‐run relationship between…Islamic Banks and Financial Stability (2008)Islamic Banks and Financial S…Ethical Investment Revisited (2005)Ethical Investment RevisitedThe dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk? (2022)The dark side of Bitcoin: Do …Do global factors drive the interconnectedness among green, Islamic and conventional financial markets? (2022)Do global factors drive the i…The experience and the prospects of Islamic finance in Kazakhstan (2021)The experience and the prospe…Measuring the effects of inflation and inflation uncertainty on output growth in the central and eastern European countries (2020)Measuring the effects of infl…Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets (2019)Sector Portfolio Performance …Dependence and risk spillovers between mainland China and London stock markets before and after the Stock Connect programs (2019)Dependence and risk spillover…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Islamic financial markets and global crises: Contagion or decoupling? (2016)Is there a diversification discount in financial conglomerates? (2006)Benchmarking Financial Systems around the World (2012)Bank competition and financial stability in Asia Pacific (2013)PORTFOLIO SELECTION* (1952)Rules for Ordering Uncertain Prospects (1969)Emerging new themes in environmental, social and governance investing: a systematic literature review (2019)Sustainable finance and investment: Review and research agenda (2021)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods (2017)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Mutual Fund Performance (1966)Market Timing and Capital Structure (2002)Testing Trade-Off and Pecking Order Predictions About Dividends and Debt (2002)It’s a Matter of Principle: The Role of Personal Values in Investment Decisions (2009)Ethical requirement and financial interest: a literature review on socially responsible investing (2014)Does religion matter in corporate decision making in America? (2009)Islamic vs. conventional banks: Business models, efficiency and stability (2013)Of religion and redemption: evidence from default on islamic loans (2014)The governance, risk-taking, and performance of Islamic banks (2016)A contemporary survey of islamic banking literature (2017)Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)Stock Markets, Banks, and Economic Growth (1996)Islamic Banking Sustainability: A Review of Literature and Directions for Future Research (2016)A survey of Islamic banking and finance literature: Issues, challenges and future directions (2017)Influential and intellectual structure of Islamic finance: a bibliometric review (2020)
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References

  • 2008Islamic Banks and Financial Stability1,150 cited
  • 2013Risk in Islamic Banking687 cited
  • 2013Performance of global Islamic versus conventional share indices: International evidence305 cited
  • 2013Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach295 cited
  • 2013How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests249 cited
  • 2013Conventional and Islamic stock price performance: An empirical investigation239 cited
  • 2005Ethical Investment Revisited235 cited
  • 2014Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors209 cited
  • 2014Islamic equity market integration and volatility spillover between emerging and US stock markets191 cited
  • 2016A Survival Analysis of Islamic and Conventional Banks154 cited
  • 2013Are Islamic bonds different from conventional bonds? International evidence from capital market tests145 cited
  • 2016On the dynamic links between commodities and Islamic equity131 cited
  • 2017Extreme dependence and risk spillovers between oil and Islamic stock markets128 cited
  • 2013Risk in Islamic Banking124 cited

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2016
Do the type of sukuk and choice of shari’a scholar matter?
79 cited
  • 2009Long‐run relationship between Islamic stock returns and macroeconomic variables70 cited
  • Cited by

    • 2022Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?120 cited
    • 2022The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?66 cited
    • 2020Measuring the effects of inflation and inflation uncertainty on output growth in the central and eastern European countries27 cited
    • 2019Dependence and risk spillovers between mainland China and London stock markets before and after the Stock Connect programs25 cited
    • 2019Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets17 cited
    • 2021The experience and the prospects of Islamic finance in Kazakhstan16 cited