2017
DOI: 10.26501/jibm/2017.0701-006
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Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries

Abstract: KeywordsReturn Spillover Index Volatility Spillover Index Religion CultureReceived: 15 January 2017 Accepted: 06 June 2017Abstract. As integration is related to systemic risk and rewards in the stock markets, it is coupled with both weak and semi-strong forms of efficiency. Little evidence is found on return and volatility spillover within the Muslim country markets. This study investigates if the Muslim majority countries are interconnected with each other through returns and volatility spillovers among the s… Show more

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Cited by 3 publications
(2 citation statements)
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References 60 publications
(78 reference statements)
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“…For instance, Majdoub and Mansour (2014) argue that there is no evidence of spillover between the US market and a sample of five Islamic emerging markets (Indonesia, Malaysia, Pakistan, Qatar and Turkey). Similarly, Sahar et al (2017) point out that there is no clear evidence of spillover from developed markets (the USA, UK and Japan) to countries with a majority Muslim population (i.e. Egypt, Indonesia, Jordan, Kuwait, Lebanon, Morocco, Pakistan, Tunisia and Turkey).…”
Section: Literature Reviewmentioning
confidence: 99%
See 1 more Smart Citation
“…For instance, Majdoub and Mansour (2014) argue that there is no evidence of spillover between the US market and a sample of five Islamic emerging markets (Indonesia, Malaysia, Pakistan, Qatar and Turkey). Similarly, Sahar et al (2017) point out that there is no clear evidence of spillover from developed markets (the USA, UK and Japan) to countries with a majority Muslim population (i.e. Egypt, Indonesia, Jordan, Kuwait, Lebanon, Morocco, Pakistan, Tunisia and Turkey).…”
Section: Literature Reviewmentioning
confidence: 99%
“…Notably, the financial contagion and volatility transmission between Islamic and conventional financial markets are well documented (i.e. Abdul Karim et al , 2011; Majdoub and Mansour, 2014; Abdullah et al , 2016; Nagayev et al , 2016; Sahar et al , 2017; Louhichi et al , 2019). Specifically, some studies focus on the effect of the month of Ramadan on the performance and volatility of stock markets in Muslim countries.…”
Section: Introductionmentioning
confidence: 99%