Intensity of volatility linkages in Islamic and conventional markets.

Shumi Akhtar, Farida Akhtar, Maria Jahromi, Kose John

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    Abstract

    Characteristics of Islamic finance, such as a smaller set of shared information and a lower degree of cross-market hedging, reduce volatility linkages (correlations) between Islamic and conventional stocks, bonds and bills. We use a stochastic volatility model in a Generalized Methods of Moments framework as well as other volatility proxies to estimate volatility linkages. We are the first to document that including at least one Islamic asset lowers volatility linkages by up to 7.17 percentage points, after controlling for country and asset-specific characteristics. Results are stronger during financial crises and are not driven by the oil sector.
    Original languageEnglish
    Title of host publicationIntensity of Volatility Linkages in Islamic and Conventional Markets
    EditorsN/A
    Place of PublicationChicago
    PublisherTHE AMERICAN FINANCE ASSOCIATION
    ISBN (Print)N/A
    DOIs
    Publication statusPublished - 2012
    EventAFA 2012 CHICAGO MEETINGS - SEVENTY SECOND ANNUAL MEETING AMERICAN FINANCE ASSOCIATION - Chicago, USA
    Duration: 1 Jan 2012 → …

    Conference

    ConferenceAFA 2012 CHICAGO MEETINGS - SEVENTY SECOND ANNUAL MEETING AMERICAN FINANCE ASSOCIATION
    Period1/01/12 → …
    Other6-8 January 2012

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