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Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis

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Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis

dc.contributor.author	Shahzad, Syed Jawad Hussain
dc.contributor.author	Ferrer Lapeña, Román
dc.contributor.author	Ballester Miquel, Laura
dc.contributor.author	Umar, Zaghum
dc.date.accessioned	2018-09-06T10:54:45Z
dc.date.available	2018-09-06T10:54:45Z
dc.date.issued	2017
dc.identifier.citation	Shahzad, Syed Jawad Hussain Ferrer Lapeña, Román Ballester Miquel, Laura Umar, Zaghum 2017 Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis International Review Of Financial Analysis 52 9 26
dc.identifier.uri	http://hdl.handle.net/10550/67421
dc.description.abstract	This paper contributes to the current debate on the empirical validity of the decoupling hypothesis of the Islamic stockmarket fromits mainstream counterparts by examining return and volatility spillovers across the global Islamic stock market, three main conventional national stockmarkets (the US, the UK and Japan) and a number of influential macroeconomic and financial variables over the period from July 1996 to June 2016. To that end, the VAR-based spillover index approach based on the generalized VAR framework developed by Diebold and Yilmaz (2012) is applied. The empirical analysis shows strong interactions in return and volatility among the global Islamic stock market, the conventional stock markets and the set of major risk factors considered. This finding means that the Islamic equity universe does not constitute a viable alternative for investors who wish to hedge their investments against the vagaries of stockmarkets, but it is exposed to the same global factors and risks hitting the conventional financial system. Therefore, this evidence leads to the rejection of the decoupling hypothesis of the Islamic stock market from conventional stock markets, which has significant implications for faithbased investors and policy makers in terms of portfolio diversification, hedging strategies and contagion risk.
dc.language.iso	eng
dc.relation.ispartof	International Review Of Financial Analysis, 2017, vol. 52, p. 9-26
dc.subject	Islamisme
dc.subject	Economia
dc.title	Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis
dc.type	journal article	es_ES
dc.date.updated	2018-09-06T10:54:45Z
dc.identifier.doi	10.1016/j.irfa.2017.04.005
dc.identifier.idgrec	118291
dc.rights.accessRights	open access	es_ES