...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>The North American journal of economics and finance >Islamic equity market integration and volatility spillover between emerging and US stock markets
【24h】

Islamic equity market integration and volatility spillover between emerging and US stock markets

机译：伊斯兰股票市场整合以及新兴和美国股票市场之间的波幅溢出

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

The purpose of this paper is to study the conditional correlations across the US market and a sample of five Islamic emerging markets, namely Turkey, Indonesia, Pakistan, Qatar, and Malaysia. The empirical design uses MSCI (Morgan Stanley Capital International) Islamic equity index since it applies stringent restrictions to include companies. Indeed, two main restrictions must be met: (ⅰ) the business activity must be compliant with Shari'ah (i.e., Islamic law) guidelines and (ⅱ) interest-bearing investments and leverage ratios should not exceed upper limits. Three models are used: multivari-ate GARCH BEKK, CCC, and DCC. The estimation results of the three models show that the US and Islamic emerging equity markets are weakly correlated over time. No sheer evidence supports that the US market spills over into the Islamic emerging equity markets. Besides interpreting the results in terms of weak market integration, the peculiar specificities of the Islamic finance industry and the admittance conditions to the MSCI Islamic equity index contribute to explaining them. Indeed, Islamic finance bans interest-bearing investments and imposes some rules, such as asset-backing, which has sizeable impacts on volatility spillover and shocks transmissions, alongside with the close linkage between real and financial sectors. These findings suggest that investors should take caution when investing in the Islamic emerging equity markets and diversifying their portfolios in order to minimize risk.
机译：本文的目的是研究整个美国市场的条件相关性，并研究五个伊斯兰新兴市场的样本，即土耳其，印度尼西亚，巴基斯坦，卡塔尔和马来西亚。该经验设计使用MSCI（摩根士丹利资本国际）的伊斯兰股票指数，因为它对包括公司在内的公司施加了严格的限制。实际上，必须满足两个主要限制：（ⅰ）商业活动必须符合伊斯兰教法（即伊斯兰法）准则，并且（ⅱ）计息投资和杠杆比率不得超过上限。使用了三种模型：多元GARCH BEKK，CCC和DCC。这三个模型的估计结果表明，随着时间的流逝，美国和伊斯兰新兴股票市场之间的关联性很弱。没有绝对的证据支持美国市场溢出到伊斯兰新兴股票市场。除了用弱势的市场整合来解释结果之外，伊斯兰金融业的特殊特征和MSCI伊斯兰股票指数的准入条件也有助于对其进行解释。的确，伊斯兰金融禁止计息投资，并强加一些规则，例如资产支持，这对波动性溢出和冲击传递具有巨大影响，同时房地产与金融部门之间也存在紧密联系。这些发现表明，投资者在投资伊斯兰新兴股票市场并使其投资组合多样化时应谨慎行事，以最大程度地降低风险。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号