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Are Islamic stock markets integrated globally? Evidence from time series techniques

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dc.contributor.authorSarkar Humayun Kabir
dc.contributor.authorGinanjar Dewandaru
dc.contributor.authorAbul Mansur Mohammed Masih
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T20:05:44Z
dc.date.available2016-06-06
dc.date.available2016-07-25T20:05:44Z
dc.date.disclosure2016-06-10
dc.date.issued2013
dc.description.abstractThis 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.
dc.identifier.citationKabir, 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.
dc.identifier.issn1991-8178
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1398
dc.languageEnglish
dc.language.isoeng
dc.publisherAmerican-Eurasian Network for Scientific Information
dc.rights2013. American-Eurasian Network for Scientific Information
dc.sourceCRP
dc.subjectTawhid
dc.subjectShariah screening
dc.subjectIslamic stock market integration
dc.subjectJohansen cointegration
dc.subjectVector error correction model
dc.subjectVariance decompositions
dc.subjectImpulse response functions
dc.subjectPersistence profile
dc.subjectBeveridge-Nelson time series decomposition
dc.titleAre Islamic stock markets integrated globally? Evidence from time series techniques
dc.typeJournal Article
dlc.maintopicIslamic capital markets
dlc.subtopicIslamic equity market
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital markets
ikr.topic.subtopicIslamic capital markets
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