Are Islamic stock markets integrated globally? Evidence from time series techniques
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This study attempts to investigate the issue of integration of Islamic equity markets (i) not only whether these markets are moving together or not (ii) but also whether the permanent and temporary components of these markets are moving together or not. Our evidence tends to indicate that these selected Islamic markets are bound together by one cointegrating relationship with the Euro zone Islamic equity market being the most leading one and the U.K. Islamic equity market being the follower. Beveridge-Nelson (BN) time series decomposition analysis reinforces the integration by indicating that both the permanent and transitory components of all these Islamic equity indices tend to move almost together leading to further integration of the Islamic equity markets. Finally, the study tends to suggest that the financial crises did affect the investments in Islamic Equity markets. The findings of this study are also consistent with the Shariah views of economic and financial integration and have strong policy implications.
Tawhid , Shariah screening , Islamic stock market integration , Johansen cointegration , Vector error correction model , Variance decompositions , Impulse response functions , Persistence profile , Beveridge-Nelson time series decomposition
Kabir, S. H., Dewandaru, G., & Mohammed Masih, A M. (2013). Are Islamic stock markets integrated globally? Evidence from time series techniques. Australian Journal of Basic and Applied Sciences, 7(7), pp. 702-720.
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