Islamic equities and COVID-19 pandemic : measuring Islamic stock indices correlation and volatility in period of crisis
المؤلف
المصدر
العدد
المجلد 29، العدد 1 (31 أغسطس/آب 2021)، ص ص. 50-66، 17ص.
الناشر
البنك الإسلامي للتنمية المعهد الإسلامي للبحوث و التدريب
تاريخ النشر
2021-08-31
دولة النشر
السعودية
عدد الصفحات
17
التخصصات الرئيسية
الملخص EN
Purpose-The purpose of the study is to measure cross-country stock market correlation and volatility transmission during the global coronavirus disease 2019 (COVID-19) pandemic.
The paper traces trajectory of Islamic equity investments in order to get insights on the behavior of the markets during the crisis.
Design/methodology/approach-The paper uses generalized method of moments (GMM), autoregressive distributed lag (ARDL) and multivariate GARCH (MGARCH) models for analysis of dynamic causality, stock market cointegration, correlation and volatility transmission between Islamic stock indices.
Findings-The result of normal correlation analysis on the share indices show the markets move together.
The result of ARDL cointegration test shows the markets returns are cointegrated as a group.
To further make sense of the data; the indices were grouped into four different categories, then cointegration tests were conducted.
The results of the analysis show that the subgroups are cointegrated except the low COVID-19 subgroup.
Based on MGARCH findings, the possibility of volatility transmission between markets during the crisis is high.
The market returns indices show the usual herd mentality common during the period of crisis.
Originality/value-Unlike other works in this area, this paper attempt to trace the trajectory of Islamic equity investment in order to get relevant insights and arrives at appropriate ways of responding to the crisis.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Abd Allah, Shafiu Ibrahim. 2021. Islamic equities and COVID-19 pandemic : measuring Islamic stock indices correlation and volatility in period of crisis. Islamic Economic Studies،Vol. 29, no. 1, pp.50-66.
https://search.emarefa.net/detail/BIM-1414671
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Abd Allah, Shafiu Ibrahim. Islamic equities and COVID-19 pandemic : measuring Islamic stock indices correlation and volatility in period of crisis. Islamic Economic Studies Vol. 29, no. 1 (Aug. 2021), pp.50-66.
https://search.emarefa.net/detail/BIM-1414671
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Abd Allah, Shafiu Ibrahim. Islamic equities and COVID-19 pandemic : measuring Islamic stock indices correlation and volatility in period of crisis. Islamic Economic Studies. 2021. Vol. 29, no. 1, pp.50-66.
https://search.emarefa.net/detail/BIM-1414671
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references : p. 64-65
رقم السجل
BIM-1414671
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر