Cross-sectoral interactions in Islamic equity markets

Pacific Basin Finance Journal

Volumn 32, Issue , 2015, Pages 1-20

  Yilmaz, Mustafa K ^a   Sensoy, Ahmet ^a   Ozturk, Kevser ^a   Hacihasanoglu, Erk ^a  

^a Borsa Istanbul Resitpasa mah Tuncay Artun cad ^*  (Turkey)

Author keywords

CDCC; Cross sectoral interaction; DECO; Financialization; Islamic equity markets; Penalized contrast function

Indexed keywords

EID: 84922971799     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2014.12.008     Document Type: Article

References (49)

1. Aboura S., Chevallier J. Volatility equicorrelation: a cross-market perspective. Econ. Lett. 2014, 122:289-295.
2. Aielli G.P. Dynamic conditional correlation: on properties and estimation. J. Bus. Econ. Stat. 2013, 31:282-299.
3. Ajmi A.N., Hammoudeh S., Nguyen D.K., Sarafrazi S. How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests. J. Int. Financ. Mark. Inst. Money 2014, 28:213-227.
4. Al-Khazali O., Lean H.H., Samet A. Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach. Pac. Basin Financ. J. 2014, 28:29-46.
5. Anderson K., Brooks C., Katsaris A. Speculative bubbles in the S&P 500: was the tech bubble confined to the tech sector?. J. Empir. Financ. 2010, 17:345-361.
6. Arbelaez H., Urrutia J., Abbas N. Short-term and long-term linkages among the Colombian capital market indexes. Int. Rev. Financ. Anal. 2001, 10:237-273.
7. Ashraf D., Mohammad N. Matching perception with the reality - performance of Islamic equity investments. Pac. Basin Financ. J. 2014, 28:175-189.
8. Aslanidis N., Casas I. Nonparametric correlation models for portfolio allocation. J. Bank. Financ. 2013, 37:2268-2283.
9. Authers J. The Fearful Rise of Markets: Short View of Global Bubbles and Synchronised Meltdowns 2010, Financial Times/Prentice Hall, UK.
10. Baca S.P., Garbe B.L., Weiss R.A. The rise of sector effects in major equity markets. Financ. Anal. J. 2000, 56:34-40.
11. Balli F., Balli H.O. Sectoral equity returns in the Euro region: is there any room for reducing portfolio risk?. J. Econ. Bus. 2011, 63:89-106.
12. Balli F., Basher S.A., Jean Louis R. Sectoral equity returns and portfolio diversification opportunities across the GCC region. J. Int. Financ. Mark. Inst. Money 2013, 25:33-48.
13. Balli F., Balli H.O., Luu M.N. Diversification across ASEAN-wide sectoral and national equity returns. Econ. Model. 2014, 41:398-407.
14. Berben R.P., Jansen W.J. Comovement in international equity markets: a sectoral view. J. Int. Money Financ. 2005, 24:832-857.
15. Bhattacharya U., Galpin N. The global rise of the value-weighted portfolio. J. Financ. Quant. Anal. 2011, 46:737-756.
16. Bollerslev T. Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. Rev. Econ. Stat. 1990, 72:498-505.
17. Boudt K., Danielsson J., Laurent S. Robust forecasting of dynamic conditional correlation GARCH models. Int. J. Forecast. 2013, 29:244-257.
18. Buyuksahin B., Robe M.A. Speculators, commodities and cross-market linkages. J. Int. Money Financ. 2014, 42:38-70.
19. Cao D., Long W., Yang W. Sector indices correlation analysis in China's stock markets. Procedia Comput. Sci. 2013, 17:1241-1249.
20. Cavaglia S., Brightman C., Aked M. The increasing importance of industry factors. Financ. Anal. J. 2000, 56:41-54.
21. Chong B.S., Liu M. Islamic banking: interest-free or interest-based?. Pac. Basin Financ. J. 2009, 17:125-144.
22. Christoffersen P., Errunza V., Jacobs K., Jin X. Correlation dynamics and international diversification benefits. Int. J. Forecast. 2014, 30:807-824.
23. Engle R.F. Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. J. Bus. Econ. Stat. 2002, 20:339-350.
24. Engle R.F., Kelly B. Dynamic equicorrelation. J. Bus. Econ. Stat. 2012, 30:212-228.
25. Engle R.F., Sheppard K. Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. NBER Working Paper 8554 2001.
26. Fasnacht P., Louberge H. International stock market correlations: a sectoral approach. Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper 2007, (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1071 608).
27. Girard E., Hassan M.K. Is there a cost to faith-based investing: evidence from FTSE Islamic indices. J. Invest. 2008, 17:112-122.
28. Hammoudeh S., Mensi W., Reboredo J.C., Nguyen D.C. Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors. Pac. Basin Financ. J. 2014, 10.1016/j.pacfin.2014.10.001.
29. Ho C.S.F., Abd Rahman N.A., Yusuf N.H.M., Zamzamin Z. Performance of global Islamic versus conventional share indices: international evidence. Pac. Basin Financ. J. 2014, 28:110-121.
30. Hodrick R., Prescott E.C. Postwar US business cycles: an empirical investigation. J. Money, Credit, Bank. 1997, 29:1-16.
31. Hussein K., Omran M. Ethical investment revisited: evidence from Dow Jones Islamic indexes. J. Invest. 2005, 14:105-124.
32. Jawadi F., Jawadi N., Louhichi W. Conventional and Islamic stock price performance: an empirical investigation. Int. Econ. 2014, 137:73-87.
33. Kamil N.K.M., Alhabshi S.O., Bacha O.I., Mansur M. Heads we win, tails you lose: is there equity in Islamic equity funds?. Pac. Basin Financ. J. 2014, 28:7-28.
34. King B.F. Market and industry factors in stock price behavior. J. Bus. 1966, 39:139-190.
35. Lavielle M. Using penalized contrasts for the change-point problem. Signal Process. 2005, 85:1501-1510.
36. Lessard D.R. World, country and industry relationships in equity returns. J. Financ. 1974, 29:379-391.
37. Livingston M. Industry movements of common stocks. J. Financ. 1977, 32:861-874.
38. Meric I., Ratner M., Meric G. Co-movements of sector index returns in the world's major stock markets in bull and bear markets: portfolio diversification implications. Int. Rev. Financ. Anal. 2008, 17:156-177.
39. Moerman G.A. Diversification in Euro Area stock markets: country vs. industry. J. Int. Money Financ. 2008, 27:1122-1134.
40. Roll R. Industrial structure and the comparative behavior of international stock market indices. J. Financ. 1992, 47:3-41.
41. Schwartz R.A., Altman E.I. Volatility behavior of industrial stock price indices. J. Financ. 1973, 28:957-971.
42. Sensoy A. Dynamic relationship between precious metals. Resour. Policy 2013, 38:504-511.
43. Sensoy A., Soytas U., Yildirim I., Hacihasanoglu E. Dynamic relationship between Turkey and European countries during the global financial crisis. Econ. Model. 2014, 40:290-298.
44. Shamsuddin A. Are Dow Jones Islamic equity indices exposed to interest rate risk?. Econ. Model. 2014, 39:273-281.
45. Sobaci C., Sensoy A., Erturk M. Impact of short selling activity on market dynamics: evidence from an emerging market. J. Financ. Stab. 2014, 15:53-62.
46. Tang K., Xiong W. Index investment and the financialization of commodities. Financ. Anal. J. 2012, 68:54-74.
47. Teulon F., Guesmi K., Mankai S. Regional stock market integration in Singapore: a multivariate analysis. Econ. Model. 2014, 43:217-224.
48. Tse Y.K., Tsui A.C.K. A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations. J. Bus. Econ. Stat. 2002, 20:351-362.
49. Wang Z., Kutan A.M., Yang J. Information flows within and across sectors in Chinese stock markets. Q. Rev. Econ. Finan. 2005, 45:767-780.