Abstract
Given the alleged uniqueness of Islamic stocks, it is expected that they should provide insurance when faced with adverse market conditions. This expectation is tested by assessing contagion, using 25 Islamic indexes during the period 2007–2017, by employing contemporary econometric techniques. The results reveal robust contagion effects of the financial crisis on Islamic stock indexes. Furthermore, we find Baker and Wurgler's investor sentiment can predict Islamic stock returns during the crisis period. Our findings indicate that Islamic stocks cannot be used as a haven asset during financial turmoil.
| Original language | English |
|---|---|
| Pages (from-to) | 919-948 |
| Number of pages | 30 |
| Journal | International Review of Economics and Finance |
| Volume | 86 |
| Early online date | 1 Sept 2020 |
| DOIs | |
| Publication status | Published - Jul 2023 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2020 Elsevier Inc.
Funding
The fourth author would like to thank Professors Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement. This research has been partially supported by Murdoch University , Asia University , China Medical University Hospital , Hang Seng Management College , Lingnan University , the Research Grants Council (RGC) of Hong Kong (project number 12500915 ), and Ministry of Science and Technology ( MOST ), R.O.C.
Keywords
- Contagion
- Global financial crisis
- Higher-order moments
- Islamic indexes
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