Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Hammoudeh, Shawkat & Mensi, Walid & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014. "Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 189-206.
- Naifar, Nader & Hammoudeh, Shawkat & Al dohaiman, Mohamed S., 2016. "Dependence structure between sukuk (Islamic bonds) and stock market conditions: An empirical analysis with Archimedean copulas," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 148-165.
- Maghyereh, Aktham I. & Awartani, Basel, 2016. "Dynamic transmissions between Sukuk and bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 246-261.
- Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016. "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, vol. 57(C), pages 36-46.
- Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
- Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine, 2015. "Rate fears gauges and the dynamics of fixed income and equity volatilities," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 256-265.
- Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014.
"Do global factors impact BRICS stock markets? A quantile regression approach,"
Emerging Markets Review,
Elsevier, vol. 19(C), pages 1-17.
- Walid Mensi & Shawkat Hammoudeh & Juan Carlos Reboredo & Duc Khuong Nguyen, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Working Papers 2014-159, Department of Research, Ipag Business School.
- Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela Ben, 2015. "Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 69-79.
- Chuang, Chia-Chang & Kuan, Chung-Ming & Lin, Hsin-Yi, 2009.
"Causality in quantiles and dynamic stock return-volume relations,"
Journal of Banking & Finance,
Elsevier, vol. 33(7), pages 1351-1360, July.
- Chia-Chang Chuang & Chung-Ming Kuan & Hsin-yi Lin, 2007. "Causality in Quantiles and Dynamic Stock Return-Volume Relations," IEAS Working Paper : academic research 07-A006, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Li, Xiao-Ming & Zhang, Bing & Gao, Ruzhao, 2015. "Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market," Economics Letters, Elsevier, vol. 132(C), pages 91-96.
- Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela ben, 2015. "Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 311-329.
- Ko, Jun-Hyung & Lee, Chang-Min, 2015. "International economic policy uncertainty and stock prices: Wavelet approach," Economics Letters, Elsevier, vol. 134(C), pages 118-122.
- Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sarafrazi, Soodabeh, 2014.
"How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 28(C), pages 213-227.
- Ahdi Noomen Ajmi & Shawkat Hammoudeh & Duc Khuong Nguyen & Soodabeh Sarafrazi, 2013. "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Working Papers 2013-35, Department of Research, Ipag Business School.
- Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2013. "Dynamic co-movements of stock market returns, implied volatility and policy uncertainty," Economics Letters, Elsevier, vol. 120(1), pages 87-92.
- Liu, Li & Zhang, Tao, 2015. "Economic policy uncertainty and stock market volatility," Finance Research Letters, Elsevier, vol. 15(C), pages 99-105.
- Godlewski, Christophe J. & Turk-Ariss, Rima & Weill, Laurent, 2016.
"Do the type of sukuk and choice of shari’a scholar matter?,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 132(S), pages 63-76.
- Godlewski, Christophe J. & Turk-Ariss, Rima & Weill, Laurent, 2014. "Do the type of sukuk and choice of shari’a scholar matter?," BOFIT Discussion Papers 21/2014, Bank of Finland, Institute for Economies in Transition.
- Christophe Godlewski & Rima Turk-Ariss & Laurent Weill, 2014. "Do the Type of Sukuk and Choice of Shari'a Scholar Matter?," IMF Working Papers 14/147, International Monetary Fund.
- Nafis Alam & M. Kabir Hassan & Mohammad Aminul Haque, 2013. "Are Islamic bonds different from conventional bonds? International evidence from capital market tests," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 13(3), pages 22-29, September.
- Naifar, Nader & Hammoudeh, Shawkat, 2016. "Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 57-69.
- Bansal, Naresh & Connolly, Robert A. & Stivers, Chris, 2015. "Equity volatility as a determinant of future term-structure volatility," Journal of Financial Markets, Elsevier, vol. 25(C), pages 33-51.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:eee:pacfin:v:46:y:2017:i:pa:p:41-56 is not listed on IDEAS
- Elie Bouri & Riza Demirer & Rangan Gupta & Hardik A. Marfatia, 2017. "Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note," Working Papers 201743, University of Pretoria, Department of Economics.
More about this item
KeywordsConventional bonds; Sukuk; Quantile regression; Financial uncertainty; Economic policy uncertainty; Portfolio diversification;
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:pacfin:v:41:y:2017:i:c:p:65-74. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/pacfin .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.