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Frequency spillovers and portfolio risk implications between Sukuk, Islamic stock and emerging stock markets
16 references·0 citing·47 second hop
Frequency spillovers and portfolio risk implications between Sukuk, Islamic stock and emerging stock markets (2022)Frequency spillovers and portfolio risk i…Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic (2021)Determinants of Spillovers be…Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications (2017)Dynamic risk spillovers betwe…Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis (2014)Stock market co-movements: Is…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…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…Business cycle synchronization and the Euro: A wavelet analysis (2011)Business cycle synchronizatio…A Lagrange multiplier test for causality in variance (2006)A Lagrange multiplier test fo…Does financial liberalization spur growth? (2005)Does financial liberalization…Stock-Bond Correlations (2003)Stock-Bond CorrelationsPure Contagion and Investors’ Shifting Risk Appetite: Analytical Issues and Empirical Evidence (2002)Pure Contagion and Investors’…On crises, contagion, and confusion (2000)On crises, contagion, and con…Contagion: Understanding How It Spreads (2000)Contagion: Understanding How …Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…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)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Endogenity of the Optimum Currency Area Criteria (1998)The Generalized Dynamic-Factor Model: Identification and Estimation (2000)Trade, Finance, Specialization, and Synchronization (2004)Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia (2019)Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals (2019)Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)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)Bank Runs, Deposit Insurance, and Liquidity (1983)A Simple Model of Herd Behavior (1992)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Emerging markets finance (2003)The subprime credit crisis and contagion in financial markets (2010)Modeling financial contagion using mutually exciting jump processes (2015)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)A Rational Expectations Model of Financial Contagion (2002)A New Approach to Measuring Financial Contagion (2003)Introduction: The International Diffusion of Liberalism (2006)On the mechanics of economic development (1988)Legal Determinants of External Finance (1997)Law and Finance (1998)Financial Globalization: A Reappraisal (2006)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)The linkages between oil market uncertainty and Islamic stock markets: Evidence from quantile-on-quantile approach (2020)Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets (2021)Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies (2022)
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References

  • 1995Time‐Varying World Market Integration2,152 cited
  • 2005Does financial liberalization spur growth?2,011 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2000On crises, contagion, and confusion1,270 cited
  • 2000Contagion: Understanding How It Spreads812 cited
  • 2011Business cycle synchronization and the Euro: A wavelet analysis350 cited
  • 2013How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests249 cited
  • 2014Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors209 cited
  • 2017Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications208 cited
  • 2002Pure Contagion and Investors’ Shifting Risk Appetite: Analytical Issues and Empirical Evidence203 cited
  • 2014Islamic equity market integration and volatility spillover between emerging and US stock markets191 cited
  • 2006A Lagrange multiplier test for causality in variance184 cited
  • 2003Stock-Bond Correlations184 cited

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  • 2014Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis181 cited
  • 2021Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic179 cited
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