Do Islamic Stock Markets Diversify the Financial Uncertainty Risk? Evidence from Selected Islamic Countries

• 발행기관: 한국유통과학회
• 저자명: Tariq AZIZ Jahanzeb MARWAT Asma ZEESHAN Yaser PARACHA Lara AL-HADDAD
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 31~38쪽, 전체 8쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

The study investigates the diversification behavior of Islamic stocks against US financial uncertainty. Considering limitations found in the literature, a comprehensive index of financial uncertainty (FU) is used, developed by Jurado, Ludvigson, and Ng (2015). The empirical analysis uses monthly data from four Islamic markets – Saudi Arabia, Malaysia, Indonesia, and Turkey – for the period from January 2010 to September 2019. Results of the bivariate EGARCH models show that Islamic stocks can be used for diversification purpose against the financial uncertainty of the US because the volatility of US uncertainty does not propagate in the Islamic stock markets. Moreover, findings show that the spillover effect of financial uncertainty varies with the FU forecast horizon. The spillover effect of FU increases with an increase in the FU forecast horizon and becomes significant over 3-month and 12-month periods in the case of Saudi Arabia. The current volatility of Islamic stock returns is independent of the size of shocks in past volatility. The leverage effect and asymmetry have been found in Saudi Arabia and Malaysia. The findings validate the arguments of the literature that Islamic markets are resilient facing uncertainties and perform well during crisis periods. The findings are important for investors in making better portfolio decisions.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Results and Discussion

5. Conclusion

References

키워드

Islamic Stocks Diversification Financial Uncertainty EGARCH Spillover