539
Views
22
CrossRef citations to date
0
Altmetric
Original Articles

Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes

, , &

References

  • Aielli, G. P. 2013. “Dynamic Conditional Correlation: On Properties and Estimation.” Journal of Business and Economic Statistics 31: 282–299. doi:10.1080/07350015.2013.771027.
  • Ajmi, A. N., S. Hammoudeh, D. K. Nguyen, and S. Sarafrazi. 2014. “How Strong are the Causal Relationships between Islamic Stock Markets and Conventional Financial Systems? Evidence from Linear and Nonlinear Tests.” Journal of International Financial Markets, Institutions & Money 28: 213–227. doi:10.1016/j.intfin.2013.11.004.
  • Al-Khazali, O., H. H. Lean, and A. Samet. 2014. “Do Islamic Stock Indexes Outperform Conventional Stock Indexes? A Stochastic Dominance Approach.” Pacific-Basin Finance Journal 28: 29–46. doi:10.1016/j.pacfin.2013.09.003.
  • Baillie, R. T., T. Bollerslev, and H. O. Mikkelsen. 1996. “Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics 74: 3–30. doi:10.1016/S0304-4076(95)01749-6.
  • Balcılar, M., R. Demirer, and S. Hammoudeh. 2015. “Global Risk Exposures and Industry Diversification with Shariah-Compliant Equity Sectors.” Pacific-Basin Finance Journal 35: 499–520. doi:10.1016/j.pacfin.2015.09.002.
  • Black, F. 1976. Studies of Stock Price Volatility Changes, Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economic Statistics Section, 177–181.
  • Campbell, J. Y., and L. Hentschel. 1992. “No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns.” Journal of Financial Economics 31: 281–318. doi:10.1016/0304-405X(92)90037-X.
  • Charles, A., O. Darné, and A. Pop. 2015. “Risk and Ethical Investment: Empirical Evidence from Dow Jones Islamic Indexes.” Research in International Business and Finance 35: 33–56. doi:10.1016/j.ribaf.2015.03.003.
  • Christie, A. A. 1982. “The Stochastic Behavior of Common Stock Variances—Value, Leverage and Interest Rate Effects.” Journal of Financial Economics 10: 407–432. doi:10.1016/0304-405X(82)90018-6.
  • Dewandaru, G., O. I. Bacha, A. M. M. Masih, and R. Masih. 2015. “Risk-Return Characteristics of Islamic Equity Indices: Multi-Timescales Analysis.” Journal of Multinational Financial Management 29: 115–138. doi:10.1016/j.mulfin.2014.11.006.
  • Dewandaru, G., S. A. R. Rizvi, R. Masih, M. Masih, and S. O. Alhabshi. 2014. “Stock Market Co-Movements: Islamic versus Conventional Equity Indices with Multi-Timescales Analysis.” Economic Systems 38: 553–571. doi:10.1016/j.ecosys.2014.05.003.
  • Dickey, D. A., and W. A. Fuller. 1979. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74: 427–431.
  • El Alaoui, A. O., G. Dewandaru, S. A. Rosly, and M. Masih. 2015. “Linkages and Co-Movement between International Stock Market Returns: Case of Dow Jones Islamic Dubai Financial Market Index.” Journal of International Financial Markets, Institutions & Money 36: 53–70. doi:10.1016/j.intfin.2014.12.004.
  • Engle, R. F. 2002. “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.” Journal of Business & Economic Statistics 20: 339–350. doi:10.1198/073500102288618487.
  • Hammoudeh, S., W. Mensi, J. C. Reboredo, and D. K. Nguyen. 2014. “Dynamic Dependence of the Global Islamic Equity Index with Global Conventional Equity Market Indices and Risk Factors.” Pacific-Basin Finance Journal 30: 189–206. doi:10.1016/j.pacfin.2014.10.001.
  • Ho, C. S. F., N. A. A. Rahman, N. H. M. Yusuf, and Z. Zamzamin. 2014. “Performance of Global Islamic versus Conventional Share Indices: International Evidence.” Pacific-Basin Finance Journal 28: 110–121. doi:10.1016/j.pacfin.2013.09.002.
  • Hussein, K., and M. Omran. 2005. “Ethical Investment Revisited: Evidence from Dow Jones Islamic Indexes.” Journal of Investing 14: 105–126. doi:10.3905/joi.2005.580557.
  • Kroner, K. F., and V. K. Ng. 1998. “Modeling Asymmetric Comovements of Asset Returns.” Review of Financial Studies 11: 817–844. doi:10.1093/rfs/11.4.817.
  • Kroner, K. F., and J. Sultan. 1993. “Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures.” Journal of Financial and Quantitative Analysis 28: 535–551. doi:10.2307/2331164.
  • Ku, Y. H., H. Chen, and K. Chen. 2007. “On the Application of the Dynamic Conditional Correlation Model in Estimating Optimal Time-Varying Hedge Ratios.” Applied Economics Letters 14: 503–509. doi:10.1080/13504850500447331.
  • Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shim. 1992. “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure are We that Economic Time Series are Non-Stationary?” Journal of Econometrics 54: 159–178. doi:10.1016/0304-4076(92)90104-Y.
  • Masih, A. M. M., and R. Masih. 1997. “A Comparative Analysis of the Propagation of Stock Market Fluctuations in Alternative Models of Dynamic Causal Linkages.” Applied Financial Economics 7: 59–74. doi:10.1080/096031097333853.
  • Meric, I., M. Ratner, and G. Meric. 2008. “Co-Movements of Sector Index Returns in the World’s Major Stock Markets in Bull and Bear Markets: Portfolio Diversification Implications.” International Review of Financial Analysis 17: 156–177. doi:10.1016/j.irfa.2005.12.001.
  • Poterba, J. M., and L. H. Summers. 1986. “The Persistence of Volatility and Stock Market Fluctuations.” American Economic Review 76: 1142–1151.
  • Ratner, M., I. Meric, and G. Meric. 2006. “Sector Dispersion and Stock Market Predictability.” Journal of Investing 15: 56–61. doi:10.3905/joi.2006.616845.
  • Saiti, B., O.-I. Bacha, and M. Masih. 2014. “The Diversification Benefits from Islamic Investment during the Financial Turmoil: The Case for the US-Based Equity Investors.” Borsa Istanbul Review 14: 196–211. doi:10.1016/j.bir.2014.08.002.
  • Tse, Y. K. 1998. “The Conditional Heteroscedasticity of the Yen-Dollar Exchange Rate.” Journal of Applied Econometrics 13: 49–55. doi:10.1002/(ISSN)1099-1255.
  • Yilmaz, M. K., A. Sensoy, K. Ozturk, and E. Hacihasanoglu. 2015. “Cross-Sectoral Interactions in Islamic Equity Markets.” Pacific-Basin Finance Journal 32: 1–20. doi:10.1016/j.pacfin.2014.12.008.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.