Journal article
Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis
Journal of international financial markets, institutions & money, v 34, pp 69-79
Jan 2015
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
•We examine the interactive linkages between the GCC sharia-stock returns and sukuk yields.•Long-horizon regressions reveal a negative linkage between these-sharia assets for all time scales.•The wavelet squared coherence analysis shows that co-movements vary through frequency and time.•The co-movements have a different impact on the VaR levels over the sample period.•We find that the benefits of portfolio diversification vary through time and frequencies.
We assess the co-movement between the sharia-compliant stocks and sukuk in the Gulf Cooperation Council (GCC) countries. The wavelet squared coherency approach is applied to daily data covering GCC global, corporate and financial services sukuk indexes as well as GCC sharia stocks. The empirical evidence indicates a strong dependence between these sharia stock and sukuk indexes. The degree of co-movement power is varying over time and frequency and the long-run is dominant. To highlight the importance of the wavelet analysis, we perform the value-at-risk (VaR) for a GCC multi-country portfolio. The finding provides strong evidence that the benefits of portfolio diversification vary across frequencies and time. Our results provide several practical implications for Islamic funds when selecting sharia-compliant assets and designing their optimal weights.
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Details
- Title
- Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis
- Creators
- Chaker Aloui - King Saud UniversityShawkat Hammoudeh - Drexel UniversityHela Ben Hamida - Department of Financing and Investments, Faculty of Economics and Administrative Sciences, Imam Muhammad Ibn Saud Islamic University (IMSIU), Riyadh, Saudi Arabia
- Publication Details
- Journal of international financial markets, institutions & money, v 34, pp 69-79
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000349459300006
- Scopus ID
- 2-s2.0-84912101549
- Other Identifier
- 991019167997104721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics