Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries

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dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-8155-1597
dc.authorwosidCevik, Emrah/AAE-7169-2022
dc.authorwosidCevik, Emrah/K-1967-2019
dc.contributor.authorErdoğan, Seyfettin
dc.contributor.authorGedikli, Ayfer
dc.contributor.authorÇevik, Emrah İsmail
dc.date.accessioned2022-05-11T14:04:47Z
dc.date.available2022-05-11T14:04:47Z
dc.date.issued2020
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractEmpirical 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.
dc.identifier.doi10.1016/j.bir.2020.04.003
dc.identifier.endpage333
dc.identifier.issn2214-8450
dc.identifier.issn2214-8469
dc.identifier.issue4en_US
dc.identifier.startpage322
dc.identifier.urihttps://doi.org/10.1016/j.bir.2020.04.003
dc.identifier.urihttps://hdl.handle.net/20.500.11776/4772
dc.identifier.volume20
dc.identifier.wosWOS:000600892700003
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
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 stock market
dc.subjectExchange rates
dc.subjectVolatility spillover effect
dc.subjectCausality-In-Variance
dc.subjectLong-Run Relationship
dc.subjectPrice Index
dc.subjectBrics
dc.subjectReturns
dc.titleVolatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries
dc.typeArticle

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