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Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis
Dewandaru, Ginanjar; Rizvi, Syed Aun R.; Masih, Rumi; … - In: Economic Systems 38 (2014) 4, pp. 553-571
discover contagion during 9 major crises and to measure integration between markets. Using wavelet decomposition to unveil the … subprime crisis reveals fundamentals-based contagion. While Islamic markets show traces of reduced exposure to the recent … crisis owing to low leverage effect, their less diversified portfolio nature increases vulnerability to other crises. We …
Persistent link: https://www.econbiz.de/10011115994
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Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis
Dewandaru, Ginanjar; Alaoui, Abdelkader; Masih, A. Mansur M. - Volkswirtschaftliche Fakultät, … - 2013
Co-movements in equity markets may reflect either financial contagion or stock market integration. While the former …
Persistent link: https://www.econbiz.de/10011110107
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Leverage versus volatility: Evidence from the Capital Structure of European Firms
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
leverage in affecting the returns and the firm‘s share price volatility in relation to an Islamic finance perspective (IFP … analyzed based on econometric analysis. Dynamic GMM is used in order to correlate the firm‘s leverage to total assets with its … consider its own market with implications on its leverage policy in relation to the frequency-dependent strategy. …
Persistent link: https://www.econbiz.de/10011110302
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Shari'ah screening, market risk and contagion : a multi-country analysis
Alaoui, Abdelkader O. el; Obiyathulla Ismath Bacha; … - In: Journal of economic behavior & organization : JEBO 132 (2016), pp. 93-112
Persistent link: https://www.econbiz.de/10011702872
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Ratings matter : announcements in times of crisis and the dynamics of stock markets
Rosati, Nicoletta; Bellia, Mario; Matos, Pedro Verga; … - Europäische Kommission / Gemeinsame Forschungsstelle - 2019
In this paper we propose a novel approach in analysing the impact of changes in sovereign credit ratings on stock markets. We study the evolution of a segmented form of the stock market index for several crisis-hit countries, including both European and Asian markets. Such evolution is modelled...
Persistent link: https://www.econbiz.de/10012103125
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Impacts of the Financial Crisis on Eurozone Sovereign CDS Spreads
Gündüz, Yalin; Kaya, Orcun - 2016
and show that, with the collapse of Lehman, the probability of a contagion increased across all countries and became more …
Persistent link: https://www.econbiz.de/10014158964
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Ratings matter: Announcements in times of crisis and the dynamics of stock markets
Rosati, Nicoletta; Bellia, Mario; Matos, Pedro Verga; … - 2019
In this paper we propose a novel approach in analysing the impact of changes in sovereign credit ratings on stock markets. We study the evolution of a segmented form of the stock market index for several crisis-hit countries, including both European and Asian markets. Such evolution is modelled...
Persistent link: https://www.econbiz.de/10012387293
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Policy uncertainty and international financial markets : the case of Brexit
Belke, Ansgar; Dubova, Irina; Osowski, Thomas - 2016
This study assesses the impact of Brexit uncertainty on the UK and also on international financial markets, for the first and the second statistical moments. As financial markets are highly linked in general and several countries apart from the UK might be negatively affected, one may expect...
Persistent link: https://www.econbiz.de/10011582007
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Policy uncertainty and international financial markets : the case of Brexit
Belke, Ansgar; Dubova, Irina; Osowski, Thomas - 2016
This study assesses the impact of the uncertainty caused by Brexit, on both the UK and international financial markets, for the first and second statistical moments (i.e. on changes and the standard deviations of the respective variables.) As financial markets are by nature highly interlinked,...
Persistent link: https://www.econbiz.de/10011570794
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Volatility Transmission Across Equity Markets : Did the Relationships Hold During the Global Financial Crisis?
Asaturov, Konstantin - 2014
Previous research has proven that large financial markets can be prime determinants of volatility in smaller markets. This paper seeks to examine in a broader sense the linkages between developed and emerging financial markets. More specifically, we examine the relationship between two greatest...
Persistent link: https://www.econbiz.de/10013058952