دانلود مقاله ISI انگلیسی شماره 45621
ترجمه فارسی عنوان مقاله

وابستگی دینامیکی شاخص بازار سرمایه اسلامی جهانی با شاخص های جهانی بازار سرمایه متعارف و عوامل خطر

عنوان انگلیسی
Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
45621 2014 18 صفحه PDF
منبع

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

Journal : Pacific-Basin Finance Journal, Volume 30, November 2014, Pages 189–206

ترجمه کلمات کلیدی
شاخص سهام اسلامی - شاخص های سهام متعارف - عوامل جهانی -
کلمات کلیدی انگلیسی
Islamic stock index; Conventional stock indices; Global factors; Copulas; Tail dependenceC32; C58; G1
پیش نمایش مقاله
پیش نمایش مقاله  وابستگی دینامیکی شاخص بازار سرمایه اسلامی جهانی با شاخص های جهانی بازار سرمایه متعارف و عوامل خطر

چکیده انگلیسی

Past studies have shown considerable differences between equity markets in conventional and Islamic financial systems, in terms of financial products and principles. Using a copula approach, this study shows that the global Islamic equity market index (represented by the Dow Jones Islamic Market Index) exhibits significant dependence with three major global conventional equity indices (Asia, Europe, and United States) and the global factors (oil prices, stock market implied volatility (VIX), the U.S. 10-year Treasury bond interest rate, and the 10-year European Monetary Union government bond index) which are common to the world financial system and pertinent to contagion risks in the case of financial crises. Moreover, this dependence varies over time for all cases except the S&P 500 index and is also asymmetric between bear and bull markets in some cases. Our findings thus suggest that the Sharia-compliance rules are not restrictive enough to make the global Islamic equity market index very different from the conventional indices. In addition, the decoupling hypothesis of the Islamic equity universe from the conventional financial system is not well supported by our empirical evidence.