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Transmission Of Contemporaneous Shocks From The World To Emerging Islamic Equity Markets: An Application Of Geweke Measure

Author

Listed:
  • WAQAR HAIDER HASHMI

    (PhD Scholar, Department of Business Administration, Foundation University Islamabad, Pakistan)

  • NAZIMA ELLAHI

    (Associate Professor, Department of Business & Economics, Foundation University Islamabad, Pakistan)

  • SAIMA EHSAN

    (Assistant Professor, Department of Psychology, Foundation University Islamabad, Pakistan)

  • AJMAL WAHEED

    (Dean of Faculty of Management Sciences, Foundation University Islamabad, Pakistan)

Abstract

The aim of this study is to examine the transmission of contemporaneous spillover effects from the world Islamic equity market to emerging Islamic equity markets. Geweke (1982) measure as an extension of Granger causality test (1969) has been used using daily index data from 1st September 2010 to 30th September 2017. The results confirm transmission of contemporaneous spillover effects from MSCI World Islamic Equity Market to all the selected ten Emerging Islamic Equity Markets during the period of study.

Suggested Citation

  • Waqar Haider Hashmi & Nazima Ellahi & Saima Ehsan & Ajmal Waheed, 2021. "Transmission Of Contemporaneous Shocks From The World To Emerging Islamic Equity Markets: An Application Of Geweke Measure," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 10(4), pages 44-55, December.
    • Handle: RePEc:rfh:bbejor:v:10:y:2021:i:4:p:44-55
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    References listed on IDEAS

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    More about this item

    Keywords

    Instantaneous Feedback; Contemporaneous Spillover Effects; Volatility Spillover; Geweke;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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