Files and links (1)
Accepted (AM)Open Access (License Unspecified), Open
Journal article
Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods
Pacific-Basin finance journal, v 43
01 Jun 2017
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
We examine the decoupling and contagion hypotheses by testing them on the safe haven status of Islamic indexes through investigating the total, directional and net volatility spillovers across nine regional Islamic stock indexes and their conventional counterparts, using the generalized vector autoregressive framework. We use daily data covering the period 1999 to 2014 which includes various financial crises such as those that took place in Asia, Russia, Argentina, Brazil and the United States. The results show that global financial crises strongly affect the cross-market volatility. Although the contagion hypothesis is evident for both Islamic and conventional indexes, the findings also suggest the presence of a decoupling of the Islamic indexes from their conventional counterparts during turbulent periods. The results provide several useful implications for policy makers and portfolio managers seeking to diversify their portfolios and to hedge market risk, confirming that the Islamic financial indexes are a safe haven for investors during financial crises. Furthermore, paper reports significant time-varying patterns in the volatility spillovers for all the Islamic and conventional stock indexes and points out the stress transmitters and receivers. (C) 2017 Published by Elsevier B.V.
Metrics
Details
- Title
- Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods
- Creators
- Besma Hkiri - University of CarthageShawkat Hammoudeh - Lebow College of Business, Dexel University, Philadelphia, United StatesChaker Aloui - King Saud UniversityLarisa Yarovaya - Anglia Ruskin University
- Publication Details
- Pacific-Basin finance journal, v 43
- Publisher
- Elsevier
- Number of pages
- 27
- Grant note
- RGP-211 / King Saud University through Research Group Project
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000405042700008
- Scopus ID
- 2-s2.0-85017184634
- Other Identifier
- 991019167848504721
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