Regime-dependent relation between Islamic and conventional financial markets

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dc.authorid0000-0001-9027-9532
dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-8155-1597
dc.authorscopusid26653963900
dc.authorscopusid57197830031
dc.authorwosidBugan, Mehmet Fatih/L-5579-2019
dc.authorwosidCevik, Emrah/AAE-7169-2022
dc.authorwosidCevik, Emrah/K-1967-2019
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorBuğan, Mehmet Fatih
dc.date.accessioned2022-05-11T14:33:30Z
dc.date.available2022-05-11T14:33:30Z
dc.date.issued2018
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThe aim of this paper is to examine regime-dependent dynamic relation between Islamic and conventional financial markets by means of Markov Switching Vector Autoregression (MS-VAR). Empirical results suggest evidence in favor of regime-switching properties in all returns series. These findings provide strong evidence in favor of nonlinear relation between the conventional and Islamic stock markets and thus, it is necessary to employ the MS-VAR models to determine the dynamic relationship between series. The regime-dependent Granger causality test and impulse-responses analysis results suggest that Islamic stock market is affected from conventional stock markets in both the bear and bull markets regimes. Therefore, the idea that Islamic financial markets provide diversification benefits and they are safe havens during financial distressed periods cannot be supported empirically. Copyright (C) 2017, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.
dc.identifier.doi10.1016/j.bir.2017.11.001
dc.identifier.endpage121
dc.identifier.issn2214-8450
dc.identifier.issn2214-8469
dc.identifier.issue2en_US
dc.identifier.scopus2-s2.0-85035136271
dc.identifier.scopusqualityQ1
dc.identifier.startpage114
dc.identifier.urihttps://doi.org/10.1016/j.bir.2017.11.001
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7777
dc.identifier.volume18
dc.identifier.wosWOS:000438161700003
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofBorsa Istanbul Review
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectIslamic finance
dc.subjectFinancial markets
dc.subjectMS-VAR
dc.subjectMulti-Timescales Analysis
dc.subjectEquity Indexes
dc.subjectStock Markets
dc.subjectRisk
dc.subjectCausality
dc.subjectPrice
dc.subjectModel
dc.titleRegime-dependent relation between Islamic and conventional financial markets
dc.typeArticle

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