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Ṣukūk or Bond, Which Is More Sustainable during COVID-19? Global Evidence from the Wavelet Coherence Model
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Ṣukūk or Bond, Which Is More Sustainable during COVID-19? Global Evidence from the Wavelet Coherence Model (2022)Ṣukūk or Bond, Which Is More Sustainable …Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis (2021)Impact of COVID-19 pandemic o…Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)Stock markets’ reaction to CO…Searching for safe-haven assets during the COVID-19 pandemic (2020)Searching for safe-haven asse…Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns (2020)Death and contagious infectio…Are Islamic Banks More Resilient During Financial Panics? (2015)Are Islamic Banks More Resili…Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis (2014)Co-movement between sharia st…Islamic vs. conventional banking: Business model, efficiency and stability (2012)Islamic vs. conventional bank…Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Co-movement of energy commodi…Oil and the macroeconomy: using wavelets to analyze old issues (2010)Oil and the macroeconomy: usi…Evidence of interdependence and contagion using a frequency domain framework (2008)Evidence of interdependence a…Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Stock Market Uncertainty and …International Stock Return Comovements (2005)International Stock Return Co…An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University. (1998)Information and volatility li…International Market Correlation and Volatility (1996)International Market Correlat…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Multifractal analysis of financial markets: a review (2019)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Contagion as a Wealth Effect (2001)A Rational Expectations Model of Financial Contagion (2002)Real-time price discovery in global stock, bond and foreign exchange markets (2007)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market (2008)The Determinants of Stock and Bond Return Comovements (2010)Volatiltiy and Links Between National Stock Markets (1990)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Is the correlation in international equity returns constant: 1960–1990? (1995)Extreme Correlation of International Equity Markets (2001)The Distribution of Realized Exchange Rate Volatility (2001)The distribution of realized stock return volatility (2001)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Common risk factors in the returns on stocks and bonds (1993)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Common Risk Factors in Currency Markets (2011)International Stock Return Predictability: What Is the Role of the United States? (2013)Coronavirus (COVID-19) — An epidemic or pandemic for financial markets (2020)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Econometric Analysis of Panel Data (2021)Cultures and Organizations: Software of the Mind. (1993)Econometric Analysis of Cross Section and Panel Data (2001)COVID-19 and the United States financial markets’ volatility (2020)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is gold a safe haven? International evidence (2010)Financial markets under the global pandemic of COVID-19 (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Continuous Auctions and Insider Trading (1985)Generalized impulse response analysis in linear multivariate models (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Market Liquidity and Funding Liquidity (2008)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2020Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns1,435 cited
  • 2020Stock markets’ reaction to COVID-19: Cases or fatalities?1,253 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 2005International Stock Return Comovements860 cited
  • 2020Searching for safe-haven assets during the COVID-19 pandemic656 cited
  • 2005Stock Market Uncertainty and the Stock-Bond Return Relation655 cited
  • 1998Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University.502 cited
  • 2011Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis498 cited
  • 1996International Market Correlation and Volatility468 cited
  • 2010Oil and the macroeconomy: using wavelets to analyze old issues348 cited

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  • 2012Islamic vs. conventional banking: Business model, efficiency and stability250 cited
  • 2008Evidence of interdependence and contagion using a frequency domain framework174 cited
  • 2015Are Islamic Banks More Resilient During Financial Panics?168 cited
  • 2021Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis136 cited
  • 2014Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis128 cited
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