دانلود مقاله ISI انگلیسی شماره 83364
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
83364 2017 17 صفحه PDF سفارش دهید 11482 کلمه
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عنوان انگلیسی
Predictability and co-movement relationships between conventional and Islamic stock market indexes: A multiscale exploration using wavelets
منبع

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

Journal : Physica A: Statistical Mechanics and its Applications, Volume 482, 15 September 2017, Pages 552-568

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چکیده انگلیسی

This paper investigates the dynamical relationship between conventional and Islamic stock markets using the wavelet-assisted cross-spectral, cross-correlation and causality analyses. Relying on bivariate time series from emerging and developed markets, the aim is to find and recognize local microscopic signs of convergence or divergence. The data set covers a period of exceptional instability in the financial system that was accompanied by a significant slump in the global economic environment. The empirical results demonstrate an obvious strong dependence between conventional and Islamic indexes at low-frequency, while the dependence becomes rather instable in the finest frequencies across different investment time horizons. The relationship also took a special different form in the crisis period compared to relatively calm periods. In developed markets, indexes were the most correlated over many periods and at many frequencies, while the relationship in emerging markets tended to be less manifest, especially for short-term horizons, offering investors different investment alternatives and portfolio diversification opportunities. The pre- and post-crisis causality investigations at the end of the study suggested a bidirectional relationship in most cases, thereby offering further perspectives on multivariate forecasting.

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