آیا شاخص شریعت در برابر ریسک احساسات محافظت می کند؟ شواهد موجود در بازار سهام هند با استفاده از روش دامنه زمانی
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|99309||2018||34 صفحه PDF||سفارش دهید|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Behavioral and Experimental Finance, Available online 20 March 2018
This article examines the relationship of Shariah index returns with sentiments, risk and macroeconomic factors in the Indian stock market. The wavelet method has been used to decompose stock returns, sentiment and macro variables into different time series frequencies. Along with linear causal relationship, the present study also attempts to uncover the effect of non-linearity on causal relationships based on PÃ©guin-Feissolle and TerÃ¤svirta (1999). The results indicate that risk-based explanation is more relevant for Sharia index return behavior in the emerging Indian stock market. This study reports significant relationship between macro variables and Sharia index returns. For Shariah indices, investor sentiments are more likely to affect short-term returns, i.e., high frequent timescales. However, we do not find significant sentiment pricing after controlling the effect of systematic risk factors in an asset-pricing framework. Thus, Shariah-compliance stocks might hedge against waves of investor sentiment during unprecedented market movements.