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Spillovers and the determinants in Islamic equity markets
16 references·9 citing·37 second hop
Spillovers and the determinants in Islamic equity markets (2019)Spillovers and the determinants in Islami…Estimating global bank network connectedness (2017)Estimating global bank networ…Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)Asymmetric connectedness on t…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Islamic finance: law, economics, and practice (2007)Islamic finance: law, economi…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …The determinants of cross-border equity flows (2004)The determinants of cross-bor…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…A multi-dimensional connectedness and spillover between green bond and Islamic banking equity: Evidence from country level analysis (2024)A multi-dimensional connected…The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors (2023)The extreme return connectedn…Spillovers on sectoral sukuk returns: evidence from country level analysis (2022)Spillovers on sectoral sukuk …Spillovers between Sukuks and Shariah-compliant equity markets (2022)Spillovers between Sukuks and…From dotcom to Covid-19: A convergence analysis of Islamic investments (2021)From dotcom to Covid-19: A co…Financial connectedness of GCC emerging stock markets (2021)Financial connectedness of GC…Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies (2021)Dynamic spillovers across oil…A note on COVID-19 instigated maximum drawdown in Islamic markets versus conventional counterparts (2021)A note on COVID-19 instigated…Network Connectedness of World's Islamic Equity Markets (2020)Network Connectedness of Worl…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)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)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)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)Judgment Under Uncertainty: Heuristics and Biases. 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this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2004The determinants of cross-border equity flows1,722 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2005Volatility Spillover Effects in European Equity Markets651 cited
  • 2017Estimating global bank network connectedness637 cited
  • 1992Inequality Constraints in the Univariate GARCH Model611 cited
  • 2007

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Islamic finance: law, economics, and practice
550 cited
  • 2015Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers459 cited
  • Cited by

    • 2021Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies95 cited
    • 2022Spillovers between Sukuks and Shariah-compliant equity markets41 cited
    • 2021Financial connectedness of GCC emerging stock markets39 cited
    • 2023The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors39 cited
    • 2021A note on COVID-19 instigated maximum drawdown in Islamic markets versus conventional counterparts38 cited
    • 2020Network Connectedness of World's Islamic Equity Markets36 cited
    • 2022Spillovers on sectoral sukuk returns: evidence from country level analysis31 cited
    • 2024A multi-dimensional connectedness and spillover between green bond and Islamic banking equity: Evidence from country level analysis30 cited
    • 2021From dotcom to Covid-19: A convergence analysis of Islamic investments26 cited