Do shocks to Islamic stock index prices have transitory effects?
by Muneer Shaik
International Journal of Financial Markets and Derivatives (IJFMD), Vol. 8, No. 4, 2022

Abstract: The primary objective of this study is to investigate whether shocks to Islamic stock index prices have transitory or permanent effects by means of structural break unit root tests. The study conducts a comprehensive empirical work on weekly and monthly frequency data of 12 major global Islamic stock indices spread across developed and emerging nations like the USA, Turkey, Qatar, Oman, Indonesia, Malaysia, Thailand, India, Taiwan, China, World and Asia Pacific index. Overall, our study finds that the shocks to Islamic stock index prices have only transitory effects for both monthly and weekly data except for the Thailand sharia stock index which has a permanent effect only in the case of weekly data. We also associate the identified break dates with major global economic, political and financial events. The study is particularly essential for risk management and practitioners who develop forecast models based on Islamic indices.

Online publication date: Thu, 06-Oct-2022

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Financial Markets and Derivatives (IJFMD):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com