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Potential diversification benefits across global Islamic equity markets
16 references·5 citing·47 second hop
Potential diversification benefits across global Islamic equity markets (2010)Potential diversification benefits across…Gulf Cooperation Council (GCC) stock markets: The dawn of a new era (2006)Gulf Cooperation Council (GCC…Financial Integration and Macroeconomic Volatility (2003)Financial Integration and Mac…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …On the Integration of Emerging Stock Markets in the Middle East (2000)On the Integration of Emergin…Economic determinants of evolution in international stock market integration (1999)Economic determinants of evol…Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets (1999)Are Asian stock market fluctu…Testing for the 'Existence of a Long-run Relationship' (1996)Testing for the 'Existence of…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…INTERDEPENDENCE OF ASIAN EMERGING EQUITY MARKETS (1995)INTERDEPENDENCE OF ASIAN EMER…Long-term relationships between international share prices (1994)Long-term relationships betwe…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Predictable Stock Returns in …Common stochastic trends in international stock markets (1992)Common stochastic trends in i…Cointegration and market efficiency (1992)Cointegration and market effi…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations (1990)High Road to a Global Marketp…Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis (2021)Islamic equities and COVID-19…Performance analysis of Islamic and conventional portfolios: The emerging markets case (2019)Performance analysis of Islam…Diversification benefits of Shari'ah compliant equity ETFs in emerging markets (2018)Diversification benefits of S…Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices (2017)Adaptive markets hypothesis f…Further evidence on international Islamic and conventional portfolios diversification under regime switching (2016)Further evidence on internati…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The saving and investment nexus for China: evidence from cointegration tests (2005)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Multivariate GARCH models: a surveyConditional 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)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)Efficient Capital Markets: II (1991)The relationship between spot and futures prices: Evidence from the crude oil market (1999)Spatial price transmission and asymmetry in the Ghanaian maize market (2000)The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality (2008)Testing for a Unit Root in Time Series Regression (1988)Stock market integration and financial crises: the case of Asia (2003)Stock market integration in ASEAN after the Asian financial crisis (2005)Energy consumption and economic growth: A causality analysis for Greece (2009)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)The econometrics of financial markets (1996)Country spreads and emerging countries: Who drives whom? (2005)Stock prices and exchange rate dynamics (2005)Time Series Regression with a Unit Root (1987)Bayesian Analysis of Stochastic Volatility Models (2002)Domestic Saving and International Capital Flows (1980)Dividend yields and expected stock returns (1988)Business conditions and expected returns on stocks and bonds (1989)Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets (1992)Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Characterizing World Market Integration through Time (2007)Output Fluctuations in the United States: What Has Changed since the Early 1980's?Exchange Rate Dynamics Redux (1995)Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (2004)Economic growth in the 1990s: learning from a decade of reform (2005)Understanding the Evolution of World Business Cycles (2005)An Anatomy Of Credit Booms: Evidence From Macro Aggregates And Micro Data (2008)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Structural Analysis of Cointegrating VARs (1998)Evidence from panel unit root and cointegration tests that the Environmental Kuznets Curve does not exist (2003)Impacts of urbanization on carbon emissions: An empirical analysis from OECD countries (2021)
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References

  • 2001Bounds testing approaches to the analysis of level relationships20,339 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1996Testing for the 'Existence of a Long-run Relationship'573 cited
  • 2003Financial Integration and Macroeconomic Volatility567 cited
  • 1992Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration512 cited
  • 1999Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets339 cited
  • 1992Cointegration and market efficiency237 cited
  • 1999Economic determinants of evolution in international stock market integration223 cited
  • 1995INTERDEPENDENCE OF ASIAN EMERGING EQUITY MARKETS111 cited
  • 2006Gulf Cooperation Council (GCC) stock markets: The dawn of a new era96 cited
  • 2000On the Integration of Emerging Stock Markets in the Middle East90 cited
  • 1994Long-term relationships between international share prices

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84 cited
  • 1990High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations72 cited
  • Cited by

    • 2017Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices46 cited
    • 2019Performance analysis of Islamic and conventional portfolios: The emerging markets case37 cited
    • 2021Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis34 cited
    • 2018Diversification benefits of Shari'ah compliant equity ETFs in emerging markets22 cited
    • 2016Further evidence on international Islamic and conventional portfolios diversification under regime switching20 cited