Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile Regression
This study explores the asymmetric co-movement between conventional bonds market, sukuk market and Islamic stock markets of top ten Islamic economies. The study used daily data ranging from 1st January 2008 to 31st December 2019. However, for the dependency structure, we used Quantile-on-Quantile (Q...
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| Format: | Article |
| Language: | English |
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CSRC Publishing
2020-09-01
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| Series: | Journal of Accounting and Finance in Emerging Economies |
| Subjects: | |
| Online Access: | https://publishing.globalcsrc.org/ojs/index.php/jafee/article/view/1390 |
| _version_ | 1818471538983174144 |
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| author | Fatima Farooq Muhammad Saeed Meo Sajid Ali Usman Rasheed |
| author_facet | Fatima Farooq Muhammad Saeed Meo Sajid Ali Usman Rasheed |
| author_sort | Fatima Farooq |
| collection | DOAJ |
| description | This study explores the asymmetric co-movement between conventional bonds market, sukuk market and Islamic stock markets of top ten Islamic economies. The study used daily data ranging from 1st January 2008 to 31st December 2019. However, for the dependency structure, we used Quantile-on-Quantile (QQ) method, which captures the dependence between the entire distributions of financial assets and uncovers some nuance features of the relationship. The empirical findings show that under the stress condition (bearish condition), both bonds and stocks markets negatively commove. However, in the bullish market condition, these markets show week positive correlation/ co-movement in all the sample economies. The findings also confirmed that under the bearish condition, a mild negative correlation exists between sukuk and Islamic stock markets except for Malaysia. However, in the bullish market condition, sukuk markets and stock markets show strong positive correlation in all sample economies. Furthermore, study also enriches quantiles estimation by using quantiles granger causality approach. The findings show that the conventional bond market, sukuk market and Islamic stock market granger cause to each other on all the quantiles (in bullish or bearish market conditions). |
| first_indexed | 2024-04-14T03:51:47Z |
| format | Article |
| id | doaj.art-8092fafdf451479d9b7f586cf8f59bb4 |
| institution | Directory Open Access Journal |
| issn | 2519-0318 2518-8488 |
| language | English |
| last_indexed | 2024-04-14T03:51:47Z |
| publishDate | 2020-09-01 |
| publisher | CSRC Publishing |
| record_format | Article |
| series | Journal of Accounting and Finance in Emerging Economies |
| spelling | doaj.art-8092fafdf451479d9b7f586cf8f59bb42022-12-22T02:13:59ZengCSRC PublishingJournal of Accounting and Finance in Emerging Economies2519-03182518-84882020-09-0163Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile RegressionFatima Farooq0Muhammad Saeed Meo1Sajid Ali2Usman Rasheed3Assistant Professor, School of Economics, Bahauddin Zakariya University Multan, PakistanThe Superior College Lahore PakistanFaculty of Economics and Management, Universiti Putra Seri Kembangan, MalaysiaThe Superior College Lahore PakistanThis study explores the asymmetric co-movement between conventional bonds market, sukuk market and Islamic stock markets of top ten Islamic economies. The study used daily data ranging from 1st January 2008 to 31st December 2019. However, for the dependency structure, we used Quantile-on-Quantile (QQ) method, which captures the dependence between the entire distributions of financial assets and uncovers some nuance features of the relationship. The empirical findings show that under the stress condition (bearish condition), both bonds and stocks markets negatively commove. However, in the bullish market condition, these markets show week positive correlation/ co-movement in all the sample economies. The findings also confirmed that under the bearish condition, a mild negative correlation exists between sukuk and Islamic stock markets except for Malaysia. However, in the bullish market condition, sukuk markets and stock markets show strong positive correlation in all sample economies. Furthermore, study also enriches quantiles estimation by using quantiles granger causality approach. The findings show that the conventional bond market, sukuk market and Islamic stock market granger cause to each other on all the quantiles (in bullish or bearish market conditions).https://publishing.globalcsrc.org/ojs/index.php/jafee/article/view/1390QQ regression, Sukuk market, Conventional bond market, Islamic stock market |
| spellingShingle | Fatima Farooq Muhammad Saeed Meo Sajid Ali Usman Rasheed Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile Regression Journal of Accounting and Finance in Emerging Economies QQ regression, Sukuk market, Conventional bond market, Islamic stock market |
| title | Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile Regression |
| title_full | Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile Regression |
| title_fullStr | Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile Regression |
| title_full_unstemmed | Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile Regression |
| title_short | Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile Regression |
| title_sort | co movement between sukuk conventional bond and islamic stock markets under bullish and bearish market conditions an application of quantile on quantile regression |
| topic | QQ regression, Sukuk market, Conventional bond market, Islamic stock market |
| url | https://publishing.globalcsrc.org/ojs/index.php/jafee/article/view/1390 |
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