Volatility and correlation of Islamic and conventional indices during crises
暂无分享,去创建一个
[1] M. Hassan,et al. Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic? , 2021, Global Finance Journal.
[2] M. Hassan,et al. Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis , 2021, The North American Journal of Economics and Finance.
[3] H. Djajadikerta,et al. Safe havens in Islamic financial markets: COVID-19 versus GFC , 2021, Global Finance Journal.
[4] I. Panetta,et al. Islamic stock market versus conventional: Are islamic investing a ‘Safe Haven’ for investors? A systematic literature review , 2020 .
[5] X. Vo,et al. Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? Extreme co-movements and portfolio management analysis , 2020 .
[6] A. Wahid,et al. Do ‘Shariah’ indices surpass conventional indices? A study on Dhaka Stock Exchange , 2020 .
[7] Kung-Sik Chan,et al. Dynamic conditional angular correlation , 2020 .
[8] M. Hassan,et al. A CONTEMPORARY REVIEW OF ISLAMIC FINANCE AND ACCOUNTING LITERATURE , 2019, The Singapore Economic Review.
[9] A. S. Azad,et al. Sailing with the Non-Conventional Stocks When There Is No Place to Hide , 2018, Journal of International Financial Markets, Institutions and Money.
[10] S. Shahzad,et al. Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis , 2017 .
[11] Robert F. Engle,et al. Large Dynamic Covariance Matrices , 2017 .
[12] Dawood Ashraf,et al. Does the Shariah screening process matter? Evidence from Shariah compliant portfolios , 2016 .
[13] A. Stathopoulos,et al. International Correlation Risk , 2016 .
[14] Adnen Ben Nasr,et al. Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching , 2016 .
[15] Dimitris Kenourgios,et al. Islamic Financial Markets and Global Crises: Contagion or Decoupling? , 2016 .
[16] Agostino Capponi,et al. Systemic Influences on Optimal Equity-Credit Investment , 2016, Manag. Sci..
[17] S. Hammoudeh,et al. Global risk exposures and industry diversification with Shariah-compliant equity sectors , 2015 .
[18] Nafis Alam,et al. Crises and contagion in Asia Pacific — Islamic v/s conventional markets , 2015 .
[19] Duc Khuong Nguyen,et al. Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets? , 2015 .
[20] Mustafa Kemal Yilmaz,et al. Cross-sectoral interactions in Islamic equity markets , 2015 .
[21] S. Hammoudeh,et al. Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors , 2014 .
[22] Nurul Asra Abd. Rahman,et al. Performance of global Islamic versus conventional share indices: International evidence , 2014 .
[23] H. Lean,et al. Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach , 2014 .
[24] Nazeeruddin Mohammad,et al. Matching perception with the reality—Performance of Islamic equity investments , 2014 .
[25] Abul Shamsuddin. Are Dow Jones Islamic equity indices exposed to interest rate risk , 2014 .
[26] G. Schwert,et al. Stock Volatility During the Recent Financial Crisis , 2011 .
[27] Lucio Sarno,et al. Spot and Forward Volatility in Foreign Exchange , 2010 .
[28] M. Hassan,et al. Is There a Cost to Faith-Based Investing: Evidence from FTSE Islamic Indices , 2008, The Journal of Investing.
[29] P. Ritchken,et al. Correlation Risk , 2008 .
[30] A. Maghyereh,et al. The Relative Risk Performance of Islamic Finance: A New Guide to Less Risky Investments , 2007 .
[31] Pascal J. Maenhout,et al. The Price of Correlation Risk: Evidence from Equity Options , 2006 .
[32] Andrea Buraschi,et al. Correlation Risk and Optimal Portfolio Choice , 2006 .
[33] R. Hodrick,et al. The Cross-Section of Volatility and Expected Returns , 2006 .
[34] Tobias J. Moskowitz,et al. An Analysis of Covariance Risk and Pricing Anomalies , 2003 .
[35] R. Engle. Dynamic Conditional Correlation , 2002 .
[36] J. Wooldridge,et al. A Capital Asset Pricing Model with Time-Varying Covariances , 1988, Journal of Political Economy.
[37] Vasileios Pappas,et al. Hidden cointegration reveals hidden values in Islamic investments , 2017 .
[38] Duc Khuong Nguyen,et al. How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests , 2014 .
[39] Michael W. Brandt,et al. A no-arbitrage approach to range-based estimation of return covariances and correlations , 2002 .