Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities
Abstract: This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion...
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| Format: | Article |
| Language: | English |
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MDPI AG
2017-03-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/5/2/22 |
| _version_ | 1818560566029975552 |
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| author | Zaghum Umar Tahir Suleman |
| author_facet | Zaghum Umar Tahir Suleman |
| author_sort | Zaghum Umar |
| collection | DOAJ |
| description | Abstract: This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion effect. We analyse the intra-market and inter-market spillover among Islamic and conventional equities across three major markets: the USA, the United Kingdom and Japan. Our sample period ranges from 1996 to 2015. In addition, we segregate our sample period into three sub-periods covering prior to the 2007 financial crisis, the crisis period and the post-crisis period. We find weak support for the decoupling hypothesis during the post-crisis period. |
| first_indexed | 2024-12-14T00:39:56Z |
| format | Article |
| id | doaj.art-6bb265fb5ed3427289005bce9fdc4d27 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-12-14T00:39:56Z |
| publishDate | 2017-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-6bb265fb5ed3427289005bce9fdc4d272022-12-21T23:24:26ZengMDPI AGRisks2227-90912017-03-01522210.3390/risks5020022risks5020022Asymmetric Return and Volatility Transmission in Conventional and Islamic EquitiesZaghum Umar0Tahir Suleman1Suleman Dawood School of Business, Lahore University of Management Sciences Sector U, DHA, Lahore Cantt. 54792, PakistanSchool of business, Wellington institute of technology, Wellington 5012, New ZealandAbstract: This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion effect. We analyse the intra-market and inter-market spillover among Islamic and conventional equities across three major markets: the USA, the United Kingdom and Japan. Our sample period ranges from 1996 to 2015. In addition, we segregate our sample period into three sub-periods covering prior to the 2007 financial crisis, the crisis period and the post-crisis period. We find weak support for the decoupling hypothesis during the post-crisis period.http://www.mdpi.com/2227-9091/5/2/22Islamic stock marketconventional stock marketsasymmetric return and volatility spilloversEGARCH |
| spellingShingle | Zaghum Umar Tahir Suleman Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities Risks Islamic stock market conventional stock markets asymmetric return and volatility spillovers EGARCH |
| title | Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities |
| title_full | Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities |
| title_fullStr | Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities |
| title_full_unstemmed | Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities |
| title_short | Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities |
| title_sort | asymmetric return and volatility transmission in conventional and islamic equities |
| topic | Islamic stock market conventional stock markets asymmetric return and volatility spillovers EGARCH |
| url | http://www.mdpi.com/2227-9091/5/2/22 |
| work_keys_str_mv | AT zaghumumar asymmetricreturnandvolatilitytransmissioninconventionalandislamicequities AT tahirsuleman asymmetricreturnandvolatilitytransmissioninconventionalandislamicequities |