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Spillovers and the determinants in Islamic equity markets · Study

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ArticleSpillovers and the determinants in Islamic equity markets

Faruk Balli2019

Article2019

Spillovers and the determinants in Islamic equity markets

Faruk Balli · Anne de Bruin · Md Iftekhar Hasan Chowdhury

56 citations·0/0 files stored·The North American Journal of Economics and Finance

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Financial Risk and Volatility Modeling Islamic Finance and Banking Studies Market Dynamics and Volatility

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1988Testing for a Unit Root in Time Series Regression 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms

Cited by

2021Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies 2022Spillovers between Sukuks and Shariah-compliant equity markets 2021Financial connectedness of GCC emerging stock markets 2023The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors 2021A note on COVID-19 instigated maximum drawdown in Islamic markets versus conventional counterparts

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2020Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk applicationarticle · 13 shared references 2022Spillovers between Sukuks and Shariah-compliant equity marketsarticle · 12 shared references 2021How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoinarticle · 12 shared references 2021From dotcom to Covid-19: A convergence analysis of Islamic investmentsarticle · 12 shared references 2017Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implicationsarticle · 11 shared references 2019Islamic and conventional equity markets: Two sides of the same coin, or not?article · 11 shared references

Details

Year2019

Typearticle

Published2019-07-27

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations56

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.najef.2019.101040

openalex_workW2965515672

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2020Network Connectedness of World's Islamic Equity Markets

2022Spillovers on sectoral sukuk returns: evidence from country level analysis

2024A multi-dimensional connectedness and spillover between green bond and Islamic banking equity: Evidence from country level analysis