Files and links (1)
SubmittedOpen Access (License Unspecified), Open
Journal article
Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test
Applied economics, v 47(46), pp 4996-5011
01 Jan 2015
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study examines whether a volatility/risk transmission exists between the Dow Jones Islamic stock and three conventional stock markets for the United States, Europe and Asia during the pre- and the in- and post-2008 crisis periods. It also explores the volatility spillover dynamics between those markets and US Monetary policy, oil prices, global financial risk and uncertainty factors. The recently developed Hafner and Herwartz (2006)'s causality-in-variance test provides evidence of risk transfers between these seemingly different equity markets, indicating a contagion between them during the full sample and the subperiods. The volatility structure of these markets is dominated by short-run volatility in the first period and by high long-run volatility in the second period. The volatility impulse response analysis indicates a similar volatility transmission pattern although it is characterized by a more volatile and short-lived structure in the second period. It also appears that the Islamic equity market responds to shocks from the risk factors and not from the oil price and the US economic policy uncertainty index during both periods.
Metrics
Details
- Title
- Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test
- Creators
- Saban Nazlioglu - Pamukkale UniversityShawkat Hammoudeh - IPAG Business SchoolRangan Gupta - University of Pretoria
- Publication Details
- Applied economics, v 47(46), pp 4996-5011
- Publisher
- Taylor & Francis
- Number of pages
- 16
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000358149900007
- Scopus ID
- 2-s2.0-84942982766
- Other Identifier
- 991019167793104721
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
- Economics