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Linkages and co-movement between international stock market returns: case of Dow Jones Islamic Dubai Financial Market index

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dc.contributor.authorAbdelKader Ouatik El Alaoui
dc.contributor.authorGinanjar Dewandaru
dc.contributor.authorSaiful Azhar Rosly
dc.contributor.authorAbul Mansur Mohammed Masih
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T19:06:47Z
dc.date.available2016-06-06
dc.date.available2016-07-25T19:06:47Z
dc.date.disclosure2016-06-10
dc.date.issued2015
dc.description.abstractUsing wavelet techniques (discrete and continuous), this paper is the first attempt to investigate the co-movement dynamics at different time scales or horizons of Islamic Dubai Financial Market (DFM-UAE) index returns with their counterpart regional Islamic indices returns such as GCC index, ASEAN index, Developing Countries index, Emerging Countries Index, and the Global Sukuk. Finally, we examine the impact of the LIBOR on the Islamic DFM-UAE return. Our first finding is that the two markets DFM_UAE, and (GCC and Saudi) are converging, in the long run, to the same level of risk and volatility with the Global Sukuk index. The wavelet analysis based on betas indicates a strong non-homogeneous correlation across scales and for different periods of time. Closer markets tend to suggest a contagion effect showing higher correlation and higher interdependence with a certain time delay. Evidence shows a flight to quality to the less risky Sukuk market mostly during the last financial crisis. The lead–lag analysis tends to indicate that the GCC leads DFM-UAE which leads Sukuk. Finally, this study sheds further light on the important leading impact of the overnight LIBOR on the returns of Islamic stock indices especially during the big changes or under shocks indicating policy implications for portfolio diversification for the international investors. The results are plausible and intuitive and have strong policy implications.
dc.identifier.citationEl Alaoui, A. O., Dewandaru, G., Rosly, S. A., & Mohammed Masih, A. M. (2015). Linkages and co-movement between international stock market returns: case of Dow Jones Islamic Dubai Financial Market index. Journal of International Financial Markets, Institutions and Money, 36, 53–70. https://doi.org/10.1016/j.intfin.2014.12.004
dc.identifier.doihttps://doi.org/10.1016/j.intfin.2014.12.004
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1299
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.rights2015. Elsevier
dc.sourceCRP
dc.subjectStock market
dc.subjectWavelet discrete
dc.subjectWavelet continuous techniques
dc.subjectShock transmission
dc.subjectFinancial integration
dc.subjectFlight to quality
dc.subjectGlobal Sukuk (Islamic bonds)
dc.titleLinkages and co-movement between international stock market returns: case of Dow Jones Islamic Dubai Financial Market index
dc.typeJournal Article
dlc.maintopicIslamic capital markets
dlc.subtopicSukuk
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital markets
ikr.topic.subtopicIslamic capital markets
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