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Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic?
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Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic? (2021)Dependence dynamics of Islamic and conven…Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds (2020)Time-frequency comovement amo…The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets (2020)The bubble contagion effect o…Tail risk contagion between international financial markets during COVID-19 pandemic (2020)Tail risk contagion between i…Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns (2020)Death and contagious infectio…COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin (2020)COVID-19 and oil market crash…Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic? (2020)Are Bitcoin and Ethereum safe…A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets (2020)A time–frequency analysis of …Global financial crisis and rising connectedness in the international commodity markets (2018)Global financial crisis and r…Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis (2017)Risk transmission between Isl…Modeling Fluctuations in the Global Demand for Commodities (2017)Modeling Fluctuations in the …The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors (2014)The diversification benefits …Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors (2014)Dynamic dependence of the glo…Performance 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…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? 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International evidence (2010)Global Financial Crisis, Smart Lockdown Strategies, and the COVID-19 Spillover Impacts: A Global Perspective Implications From Southeast Asia (2021)Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold (2021)Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic? (2022)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Do Shareholders Benefit from Green Bonds? (2018)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Tail dependence between bitcoin and green financial assets (2021)A step forward on sustainability: The nexus of environmental responsibility, green technology, clean energy and green finance (2022)Role of green finance in improving energy efficiency and renewable energy development (2022)COVID-19 and finance: Agendas for future research (2020)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)COVID-19, government policy responses, and stock market liquidity around the world: A note (2020)Financial markets under the global pandemic of COVID-19 (2020)COVID–19 media coverage and ESG leader indices (2021)NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic (2021)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication (2021)The economics of COVID-19 pandemic: A survey (2021)The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021)
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References

  • 2020Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns1,435 cited
  • 2020Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds453 cited
  • 2018Global financial crisis and rising connectedness in the international commodity markets382 cited
  • 2020Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?351 cited
  • 2013Performance of global Islamic versus conventional share indices: International evidence305 cited
  • 2020COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin303 cited
  • 2013Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach295 cited
  • 2017Modeling Fluctuations in the Global Demand for Commodities265 cited
  • 2013How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests249 cited
  • 2020A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets249 cited
  • 2013Conventional and Islamic stock price performance: An empirical investigation239 cited
  • 2020The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets220 cited
  • 2014Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors

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209 cited
  • 2017Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis205 cited
  • 2020Tail risk contagion between international financial markets during COVID-19 pandemic188 cited
  • 2014The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors183 cited
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