Files and links (1)
Published, Version of Record (VoR)CC BY V4.0, Open
Journal article
A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification
Journal of risk and financial management, v 13(4), pp 1-21
01 Apr 2020
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
Investors are interested in knowing whether sukuk bonds and shariah stock indices in the Gulf Corporation Council (GCC) region are related. This study examines the connectedness between the sukuk- and shariah-compliant stock indices in the GCC financial markets. Bivariate and multivariate wavelet approaches are applied to the daily data covering the period 10 July 2008 to 15 May 2017. The empirical findings demonstrate a strong correlation between these GCC sukuk bond indices and shariah stock indices. The degree of connectedness between these sukuk and shariah stock indices varies across time and scale. A strong and positive association is observed in the short term and a negative association is evident in the long term. The same findings are observed, using the wavelet cohesion approach that also validates the existence of portfolio diversification opportunities at a short-time horizon. The multivariate cross-correlation analysis reveals that these sukuk and shariah stock markets are highly integrated across time and scale. Furthermore, the value at risk (VaR) for the sukuk bond-shariah stocks portfolio is performed to highlight the significance of the wavelet analysis. The outcomes show that portfolio stocks are variable with respect to time or scale (time diversification). Overall, analyzing the sukuk bond-shariah stock index returns in the GCC at a multiscale level makes it easier for financial agents dealing with heterogeneous trading horizons to assess the benefits of diversifications.
Metrics
Details
- Title
- A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification
- Creators
- Samia Nasreen - Women Univ, Dept Econ, Lahore Coll, Lahore 53720, PakistanSyed Asif Ali Naqvi - Govt Coll Univ, Dept Econ, Faisalabad 38000, PakistanAviral Kumar Tiwari - Rajagiri Business Sch, Rajagiri Valley Campus, Kochi 682001, Kerala, IndiaShawkat Hammoudeh - Drexel UniversitySyed Ale Raza Shah - Govt Coll Univ, Dept Econ, Faisalabad 38000, Pakistan
- Publication Details
- Journal of risk and financial management, v 13(4), pp 1-21
- Publisher
- Mdpi
- Number of pages
- 21
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000533889000017
- Scopus ID
- 2-s2.0-85099716272
- Other Identifier
- 991019167676004721
UN Sustainable Development Goals (SDGs)
This publication has contributed to the advancement of the following goals:
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance