On the investors' sentiments and the Islamic stock-bond interplay across investments' horizons
| Autor: | Syed Jawad Hussain Shahzad, Chaker Aloui, Besma Hkiri, Muhammad Asif Khan, Ben hamida Hela |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
040101 forestry
Economics and Econometrics Multivariate statistics 050208 finance Social connectedness Bond 05 social sciences Islam 04 agricultural and veterinary sciences Bivariate analysis Sukuk 0502 economics and business Economics Econometrics 0401 agriculture forestry and fisheries Project portfolio management Finance Stock (geology) |
| Zdroj: | Pacific-Basin Finance Journal. 65:101491 |
| ISSN: | 0927-538X |
| DOI: | 10.1016/j.pacfin.2020.101491 |
| Popis: | In this paper, we examine the relevance of investor sentiment to Islamic stock-bond interplay in the time-frequency domain. Using various wavelet methods including multiple and partial wavelet coherence and bivariate and multivariate nonlinear causality tests, our results reveal that the connectedness between Islamic stocks and bonds is affected by investor sentiment over short- and long-run investment horizons. Strong multivariate nonlinear causalities are evidenced between the three variables. Static and rolling-window estimates of the percentage of total volume and percentage of significant area from wavelet coherence indicate the relevance of investor sentiment in explaining the link between Islamic stocks and bonds over time-scales and investment horizons. From a portfolio management and financial stability perspective, our results provide prominent implications and operational recommendations. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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