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

Erdoğan, Seyfettin; Gedikli, Ayfer; Çevik, Emrah İsmail

doi:10.1016/j.bir.2020.04.003

Cited by 62 publications

(44 citation statements)

References 36 publications

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“…Moreover, FX could be evaluated as an effective variable on the main stock exchange indices. A negative relationship between FX and the main indices is expected by considering the studies of Clark and Berko (1997), Hajilee and Al Nasser (2014), Naik and Padhi (2014), Korhonen (2015), Demir (2019), Erdoğan, Gedikli, and Çevik (2020), and Kartal, Depren, and Kılıç Depren (2020). On the other hand, it is possible to see a positive relationship when foreign portfolio investments are increasing due to the high FX rate.…”

Section: Literature Reviewmentioning

confidence: 97%

How Main Stock Exchange Indices React to Covid-19 Pandemic: Daily Evidence from East Asian Countries

Kartal

Depren

2020

Global Economic Review

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This study investigates whether the Covid-19 and the financial indicators affect the main stock exchange indices of East Asian countries. Number of cases and deaths caused by Covid-19, uncertainty, volatility, foreign exchanges, and mobility are examined by using Quantile Regression and comparing the prepandemic and the pandemic periods. The results shows that (i) the indicators have a significant negative impact as expected;(ii) the impact of mobility and pandemic indicators has significance in the trend of the indices whereas they differentiate among countries; (iii) the impact of the variables is significantly differentiated from the low level to the high level.

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Section: Literature Reviewmentioning

confidence: 97%

How Main Stock Exchange Indices React to Covid-19 Pandemic: Daily Evidence from East Asian Countries

Kartal

Depren

2020

Global Economic Review

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“…Moreover, to improve performance, embracing Islamic values in investing is viewed as a way to reduce sentiment-based mispricing. On the principle of prohibiting speculation (maysir), investors must verify all the information received and should not have unrealistic expectations, or be too optimistic or pessimistic (Erdogan et al, 2020). In addition, as part of ethical finance, the price of Islamic funds tend to be stable, since being part of ethical-based investment, they receive more coverage from analysts than their non-Islamic counterparts (Hong & Kacperczyk, 2009).…”

Section: Financial Screeningmentioning

confidence: 99%

Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence From the Indonesian Stock Exchange

Hashfi

Naufa

Munawaroh

2021

JIMF

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The aim of this research is to verify the role of Islamic value in stock mispricing in the Indonesian capital market. Empirically, high investor sentiment can lead to mispricing on equity appraisal. When investors feel excessively optimistic about their valuation, equity will be overpriced, or vice versa. The presence of Islamic values, such as the prohibition of interest, speculative and uncertain transactions, and excessive leverage, arguably reduce sentiment-based mispricing. Daily and cross-sectional market data were employed. In addition, principal component analysis was conducted to construct a firm-specific investor sentiment variable. With regard to the method, the Hausman-Taylor (H-T) approach was used to deal with heterogeneity, endogeneity, and the time-invariant variable in Fama-MacBeth regression. The results show that our baseline analysis confirms the mispricing of overall stocks. However, Islamic stocks are less exposed to sentiment-based mispricing than their non-Islamic counterparts. The results are consistent with our robustness test, in which we estimate the equation model across industry and portfolio. Finally, our findings imply various insights for both investors and policymakers.

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“…Erdogan et al [22] examined the impact of uncertainty spillover from foreign exchange markets to Islamic finance. The study found that abnormal returns from the Islamic stock market have a favourable effect on Turkey's foreign exchange market and that there is at least one type of volatility spillover among exchange rates and the Islamic equity markets at specific times.…”

Section: Literature Reviewmentioning

confidence: 99%

Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

Shahid¹,

Sun²,

Pk³

2021

Preprint

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This study will investigate different signals and events/news that determined the stock market's movements. As we know, many factors affect the stock market on a daily, weekly, and monthly basis, e.g., rate of interest, exchange rate, and oil prices, etc. Our research will investigate the impact of daily events/news in the KSE-100 index due to several policies announced and events/news in the country because the daily movements in the stock market can be determined only by different signals and events/news. Time series data is collected daily for particular reasons from "The News" (Daily Newspaper, Sunday edition) from 2010 to 2019. The results of this study show that political and global news affects the stock market index ferociously. For investors, the investment in blue chips is not less than a safe haven. When day-to-day transactions are concerned, there is always a higher panic attack than the herd behaviour in the stock exchange. Investors tend to make prompt responses to negative rather than positive news, which makes them risk averters. Our finding also confirmed that the ARCH/GARCH model is better than the simple OLS method concerning stock market upheaval.

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

Cited by 62 publications

References 36 publications

How Main Stock Exchange Indices React to Covid-19 Pandemic: Daily Evidence from East Asian Countries

How Main Stock Exchange Indices React to Covid-19 Pandemic: Daily Evidence from East Asian Countries

Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence From the Indonesian Stock Exchange

Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

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