Journal article
Sources of Fluctuations in Islamic, U.S., EU, and Asia Equity Markets: The Roles of Economic Uncertainty, Interest Rates, and Stock Indexes
Emerging markets finance & trade, v 52(5), pp 1195-1209
03 May 2016
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This article analyzes the economic and financial sources of fluctuations among the U.S. federal funds rates, the U.S. economic policy uncertainty, and the indices of the U.S., European, Asian, and Islamic stock markets. The impulse response analysis shows that the U.S. economic policy uncertainty shocks have significant and negative effects unanimously on the U.S., European, Asian, and Islamic stock markets. A contractionary monetary policy shock, in terms of a higher federal funds rate, has also a statistically significant and negative effect on all of the stock markets. The variance decomposition results indicate that the Islamic stock index is mainly affected by the U.S. stock index shock, thus negating its dichotomy hypothesis. The U.S. economic uncertainty shock explains an important portion of fluctuations for all four stock indices. The degree of synchronization between the EU stock market and other markets has weakened after the U.S. financial crisis.
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Details
- Title
- Sources of Fluctuations in Islamic, U.S., EU, and Asia Equity Markets: The Roles of Economic Uncertainty, Interest Rates, and Stock Indexes
- Creators
- Shawkat Hammoudeh - IPAG Business SchoolWon Joong Kim - Konkuk UniversitySoodabeh Sarafrazi - Drexel University
- Publication Details
- Emerging markets finance & trade, v 52(5), pp 1195-1209
- Publisher
- Routledge
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000372890000010
- Scopus ID
- 2-s2.0-84945294863
- Other Identifier
- 991019167629804721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business
- Economics
- International Relations