A Network Analysis of Shariah-Compliant Stocks across Global Financial Crisis: A Case of Malaysia

Mahamood, Fatin Nur Amirah; Bahaludin, Hafizah; Abdullah, Mimi Hafizah

doi:10.5539/mas.v13n7p80

Cited by 7 publications

(6 citation statements)

References 16 publications

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“…This is consistent with the findings reported by Memon and Yao (2019). Mahamood et al. (2019) also showed with the help of MST and analyzing the topological properties of the networks that most influential nodes change in pre-, during- and post-crisis period.…”

Section: Results Analysis and Discussionsupporting

confidence: 92%

“…The methodology of MST construction is often adopted to analyze the interdependence of stock markets (Han, 2019; Mantegna, 1999; Memon and Yao, 2019; Nguyen et al ., 2019), and this contributes to a proper visualization and better understanding. The same methodology was also adopted to analyze numerous economic and financial crises (Mahamood et al ., 2019; Majapa and Gossel, 2016; Memon et al. , 2019; Yang et al ., 2014).…”

Section: Methodsmentioning

confidence: 99%

“…This is consistent with the findings reported by . Mahamood et al (2019) also showed with the help of MST and analyzing the topological properties of the networks that most influential nodes change in pre-, during-and post-crisis period. However, this study presented several subperiods analysis, because two comparison points (pre-and post-crisis) could not reflect the entire behavior and changing patterns of networks.…”

Section: Temporal Changes In Global Stock Marketsmentioning

confidence: 99%

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Temporal changes in global stock markets during COVID-19: an analysis of dynamic networks

Zaheer

Aslam

Mohmand

et al. 2022

CFRI

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PurposeCOVID-19 evolved from a local health crisis to a pandemic and affected countries worldwide accordingly. Similarly, the impacts of the pandemic on the performance of global stock markets could be time-varying. This study applies a dynamic network analysis approaches to evaluate the evolution over time of the impact of COVID-19 on the stock markets' network.Design/methodology/approachDaily closing prices of 55 global stock markets from August 1, 2019 to September 10, 2020 were retrieved. This sample period was further divided into nine subsample periods for dynamic analysis purpose. Distance matrix based on long-range correlations was calculated, using rolling window's length of 100 trading days, rolled forward at an interval of one month's working days. These distance matrices than used to construct nine minimum spanning trees (MSTs). Network characteristics were figured out, community detection and network rewiring techniques were also used for extracting meaningful from these MSTs.FindingsThe findings are, with the evolution of COVID-19, a change in co-movements amongst stock markets' indices occurred. On the 100th day from the date of reporting of the first cluster of cases, the co-movement amongst the stock markets become 100% positively correlated. However, the international investor can still get better portfolio performance with such temporal correlation structure either avoiding risk or pursuing profits. A little change is observed in the importance of authoritative node; however, this central node changed multiple times with change of epicenters. During COVID-19 substantial clustering and less stable network structure is observed.Originality/valueIt is confirmed that this work is original and has been neither published elsewhere, nor it is currently under consideration for publication elsewhere.

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Section: Results Analysis and Discussionsupporting

confidence: 92%

Section: Methodsmentioning

confidence: 99%

Section: Temporal Changes In Global Stock Marketsmentioning

confidence: 99%

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Temporal changes in global stock markets during COVID-19: an analysis of dynamic networks

Zaheer

Aslam

Mohmand

et al. 2022

CFRI

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“…In order to properly visualize the data and obtain a deeper understanding, this approach to the construction of MST is frequently used in the literature to analyze equity market interdependence (Han 2019;Mantegna 1999;Nguyen et al 2019). Several financial and economic crises were also analyzed using the same technique (Mahamood et al 2019;Majapa and Gossel 2016;Yang et al 2014).…”

Section: Network Analysismentioning

confidence: 99%

On the Dynamic Changes in the Global Stock Markets’ Network during the Russia–Ukraine War

Zaheer,

Aslam,

Mohmand

et al. 2024

Economies

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Analysis of the relationships among global stock markets is crucial for international investors, regulators, and policymakers, particularly during a crisis. Complex network theory was applied to analyze the relationship between global stock markets during the Russia–Ukraine war. Daily data from 55 stock markets from 6 August 2021 to 23 September 2023 were retrieved and used to investigate the changes in global stock market networks. The sample period was divided into 22 subsamples, using a 100-day rolling window rolled forward a trading month, and then long-range correlations based on distance matrices were calculated. These distance matrices were utilized to construct stock market networks. Moreover, minimum spanning trees (MSTs) were extracted from these financial networks for analytical purposes. Based on topological and structural analysis, we identified important/central nodes, distinct communities, vulnerable/stable nodes, and changes thereof with the escalation of war. The empirical findings reveal that the Russia–Ukraine war impacted the global stock markets’ network. However, its intensity varied with changes in the region and the passage of time due to the level of stock market integration and stage of war escalation, respectively. Stock markets of France, Germany, Canada, and Austria remained the most centrally connected within communities; surprisingly, the USA’s stock market is not on this list.

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“…The application of correlation network in Bursa Malaysia can be found in several studies [26][27][28][29][30][31] in which used different types of data and duration. In addition, the effect of recession periods for conventional stocks listed on Bursa Malaysia can be found in seminal work of Lim et al [29].…”

mentioning

confidence: 99%

The Impact of the COVID-19 Pandemic on the Interconnectedness of Stocks in Bursa Malaysia

Bahaludin,

Mahamood,

Abdullah

et al. 2022

MATEMATIKA

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Coronavirus (COVID-19) pandemic has a massive impact on economic growth and the stock market. Due to COVID-19’s high transmission rate, a movement control order (MCO) was enforced by the Malaysian government in four stages. Consequently, this situation has affected the stability and the relationship of stocks listed on Bursa Malaysia. Thus, this study is motivated to investigate and visualize a correlation of securities listed on FTSE Bursa Malaysia KLCI by employing a network analysis approach. The limitation of correlation analysis is that it only provides the strength and direction of the association, which is not visually shown in the graph. As a result, the network analysis technique is used to highlight the correlations between the stocks. The input of the network is based on the rate of return of each stock. The data is divided into two parts. The first duration is the period before implementation of MCO which is from 17th December 2019 to 17th March 2020. The second duration is during four stages of MCO which cover from 18th March 2020 to 3rd May 2020. There are changes in the interconnection between stocks in which seventeen stocks increased in the correlation measure during MCO. The importance of stocks is determined by applying centrality measures to disclose a topological structure of a network. This study finds that the stock with the highest connectivity based on the degree centrality before the MCO was unable to maintain the status as the central hub during the MCO. The results can assist the market participant to strategize the asset allocation to obtain well diversified portfolio selection.

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A Network Analysis of Shariah-Compliant Stocks across Global Financial Crisis: A Case of Malaysia

Cited by 7 publications

References 16 publications

Temporal changes in global stock markets during COVID-19: an analysis of dynamic networks

Temporal changes in global stock markets during COVID-19: an analysis of dynamic networks

On the Dynamic Changes in the Global Stock Markets’ Network during the Russia–Ukraine War

The Impact of the COVID-19 Pandemic on the Interconnectedness of Stocks in Bursa Malaysia

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