Publication:
Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Ginanjar Dewandaru | |
| dc.contributor.author | Syed Aun Raza Rizvi | |
| dc.contributor.author | Rumi Masih | |
| dc.contributor.author | Abul Mansur Mohammed Masih | |
| dc.contributor.author | Syed Othman Alhabshi | |
| dc.date.accessioned | 2016-07-25T20:05:43Z | |
| dc.date.available | 2016-07-25T20:05:43Z | |
| dc.date.disclosure | 2016-06-10 | |
| dc.date.issued | 2014 | |
| dc.description.abstract | This study examines market co-movements in Islamic and mainstream equity markets across different regions in order to discover contagion during 9 major crises and to measure integration between markets. Using wavelet decomposition to unveil the multi-horizon nature of co-movement, we find that the shocks were transmitted via excessive linkages, while the recent subprime crisis reveals fundamentals-based contagion. While Islamic markets show traces of reduced exposure to the recent crisis owing to low leverage effect, their less diversified portfolio nature increases vulnerability to other crises. We generally find incomplete market integration, with relatively higher fundamental integration for Islamic markets which may be attributable to their real sector allocation nature. | |
| dc.identifier.citation | Dewandaru, G., Rizvi, S. A. R., Masih, R., Mohammed Masih, A. M., & Alhabshi, S. O. (2014). Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis. Economic Systems, 38(4), pp. 553–571. | |
| dc.identifier.doi | https://doi.org/10.1016/j.ecosys.2014.05.003 | |
| dc.identifier.uri | https://ikr.inceif.edu.my/handle/INCEIF/1385 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Elsevier | |
| dc.rights | 2014. Elsevier | |
| dc.source | CRP | |
| dc.subject | Islamic finance | |
| dc.subject | Shock transmission | |
| dc.subject | Financial crisis | |
| dc.subject | Contagion | |
| dc.subject | Wavelet analysis | |
| dc.title | Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis | |
| dc.type | Journal Article | |
| dlc.maintopic | Islamic finance | |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Islamic finance | |
| Appears in Collections |