Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries
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Dosyalar
Tarih
2020
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Empirical findings focusing on the relationship between capital markets and macroeconomic variables are used as data sources in determining policies for the development of the conventional and Islamic financial system. The aim of this study is to investigate the existence of volatility spillover effects between foreign exchange markets and Islamic stock markets in three major emerging countries, namely India, Malaysia, and Turkey using daily data for the period 2013-2019. Volatility spillover effects are investigated using the causality-in-variance test developed by Hafner and Herwartz (2006). In order to examine the nature of the relationship between the variables, and whether it changes over time, the time-varying test statistic is estimated using rolling samples. We find evidence in favor of volatility spillovers from the Islamic stock market to the foreign exchange market only in Turkey. The time-varying test results show that the presence of volatility spillover is at least one direction between exchange rates and the Islamic stock market at specific periods. Copyright (C) 2020, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.
Açıklama
Anahtar Kelimeler
Islamic stock market, Exchange rates, Volatility spillover effect, Causality-In-Variance, Long-Run Relationship, Price Index, Brics, Returns
Kaynak
Borsa Istanbul Review
WoS Q Değeri
Q1
Scopus Q Değeri
Cilt
20
Sayı
4
