TY - JOUR
T1 - Frequency spillovers and portfolio risk implications between Sukuk, Islamic stock and emerging stock markets
AU - Mensi, Walid
AU - Rehman, Mobeen Ur
AU - Maitra, Debasish
AU - Al-Yahyaee, Khamis Hamed
AU - Vo, Xuan Vinh
N1 - Publisher Copyright:
© 2022 Board of Trustees of the University of Illinois
PY - 2023/10
Y1 - 2023/10
N2 - This study examines the multiscale spillovers between five important emerging stock markets namely, Brazil, Russia, India, China, and South Africa (BRICS) and both Dow Jones Islamic stock market index (DJIM) and Dow Jones Sukuk index (DJ Sukuk) using bivariate and multivariate wavelet approaches. The results show evidence of strong time-scale co-movements between conventional and Islamic stock markets at different frequencies. Moreover, the pure contagion is evident at the short-term whereas fundamental contagion appears in the long run. Sukuk show relatively less integration with the conventional stock markets of BRICS at high and medium frequencies. DJIM and DJ Sukuk provide risk diversification opportunities for BRICS stock market volatility. The diversification benefits in terms of lower portfolio VaR is available in the high frequency scale or at the short-term. In long-run, the Islamic equity market become fundamentally integrated with the BRICS stock markets, thus, reduces hedging gains.
AB - This study examines the multiscale spillovers between five important emerging stock markets namely, Brazil, Russia, India, China, and South Africa (BRICS) and both Dow Jones Islamic stock market index (DJIM) and Dow Jones Sukuk index (DJ Sukuk) using bivariate and multivariate wavelet approaches. The results show evidence of strong time-scale co-movements between conventional and Islamic stock markets at different frequencies. Moreover, the pure contagion is evident at the short-term whereas fundamental contagion appears in the long run. Sukuk show relatively less integration with the conventional stock markets of BRICS at high and medium frequencies. DJIM and DJ Sukuk provide risk diversification opportunities for BRICS stock market volatility. The diversification benefits in terms of lower portfolio VaR is available in the high frequency scale or at the short-term. In long-run, the Islamic equity market become fundamentally integrated with the BRICS stock markets, thus, reduces hedging gains.
KW - BRICS
KW - Co-movements
KW - Islamic assets
KW - Multivariate wavelet approach
UR - http://www.scopus.com/inward/record.url?scp=85141991511&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85141991511&partnerID=8YFLogxK
U2 - 10.1016/j.qref.2022.10.012
DO - 10.1016/j.qref.2022.10.012
M3 - Article
AN - SCOPUS:85141991511
SN - 1062-9769
VL - 91
SP - 139
EP - 157
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
ER -