Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis

Pacific Basin Finance Journal

Volumn 34, Issue , 2015, Pages 121-135

  Aloui, Chaker ^a   Hammoudeh, Shawkat ^b   Hamida, Hela Ben ^c  

^a KING SAUD UNIVERSITY   (Saudi Arabia)

^b DREXEL UNIVERSITY   (United States)

^c AL IMAM MOHAMMAD IBN SAUD ISLAMIC UNIVERSITY IMSIU   (Saudi Arabia)

Author keywords

Price discovery; Regime switching; Sharia stocks; Sukuk; Time varying transition probabilities

Indexed keywords

EID: 84938251419     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2015.06.004     Document Type: Article

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