Co-movement and causal relationships between conventional and Islamic stock market returns under regime-switching framework

Co-movement and causal relationships between conventional and Islamic stock market returns under regime-switching framework

Purpose – This paper aims at examining the co-movement dependent regime and causality relationships between conventional and Islamic returns for emerging, frontier and developed markets from November 2008 to August 2020. Design/methodology/approach – First, the authors used the Markov-switching auto...

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Bibliographic Details
Main Authors: Fatma Mathlouthi, Slah Bahloul
Format: Article
Language:English
Published: Emerald Publishing 2022-09-01
Series:Journal of Capital Markets Studies
Subjects:
Islamic index
Conventional index
Emerging markets
Frontier markets
Markov-switching regressions
MS-VAR model
Online Access:https://www.emerald.com/insight/content/doi/10.1108/JCMS-02-2022-0008/full/pdf

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https://www.emerald.com/insight/content/doi/10.1108/JCMS-02-2022-0008/full/pdf

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