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Dynamics between shariah (islamic) and non-shariah stock market indices: GCC market evidence based on static and dynamic panel techniques

Author

Listed:
  • Yousef, Mona
  • Masih, Mansur

Abstract

The main focus of this paper is to investigate the long run dynamic relationship between Shariah and non shariah stock indices in four GCC countries namely Oman, Qatar, Kuwait and Bahrain.. The panel techniques are used for the estimations. The traditional panel methods used are the fixed effects and the random effects models. However, these methods are restricted in that they assume away dynamics and heterogeneity of the coefficients. We augment these methods by applying pooled mean group (PMG) and mean group (MG) estimators which allow for both dynamics and heterogeneity of the coefficients. One particular interest of ours is the test of the assumption of PMG that the long-run coefficients are constant unlike the MG estimates. We provide results of all four estimators and compare their estimates which have implications for the policy makers.

Suggested Citation

  • Yousef, Mona & Masih, Mansur, 2018. "Dynamics between shariah (islamic) and non-shariah stock market indices: GCC market evidence based on static and dynamic panel techniques," MPRA Paper 101934, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:101934
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    File URL: https://mpra.ub.uni-muenchen.de/101934/1/MPRA_paper_101934.pdf
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    References listed on IDEAS

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    5. Cavalcanti, Tiago V. de V. & Mohaddes, Kamiar & Raissi, Mehdi, 2011. "Growth, development and natural resources: New evidence using a heterogeneous panel analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 305-318.
    6. Al Janabi, Mazin A.M. & Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2010. "An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 47-54, January.
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    More about this item

    Keywords

    Shariah (Islamic) and non-Shariah stock indices; GCC; dynamic panel techniques;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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