دانلود مقاله ISI انگلیسی شماره 42357
ترجمه فارسی عنوان مقاله

ادغام بازار سرمایه اسلامی و گسترش بی ثباتی بین بازارهای سرمایه در حال ظهور و بازارهای سرمایه ایالات متحده

عنوان انگلیسی
Islamic equity market integration and volatility spillover between emerging and US stock markets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
42357 2014 19 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : The North American Journal of Economics and Finance, Volume 29, July 2014, Pages 452–470

ترجمه کلمات کلیدی
مالی اسلامی - سرریز نوسانات - GARCHچند متغیره - همبستگی شرطی
کلمات کلیدی انگلیسی
G11; G1; F3; C58Islamic finance; Volatility spillovers; Multivariate GARCH; Conditional correlations; BEKK; DCC; CCC
پیش نمایش مقاله
پیش نمایش مقاله  ادغام بازار سرمایه اسلامی و گسترش بی ثباتی بین بازارهای سرمایه در حال ظهور و بازارهای سرمایه ایالات متحده

چکیده انگلیسی

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: multivariate 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.