Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach
| Autor: | Aymen Ben Rejeb, Mongi Arfaoui |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Informational efficiency
050208 finance F15 G14 Autoregressive conditional heteroskedasticity Conditional volatility Islamic stock markets 05 social sciences Financial market Structural break Financial fragility Subprime crisis Stock market index ddc:650 0502 economics and business Financial crisis Economics Econometrics C58 050207 economics Volatility (finance) C32 Stock (geology) |
| Zdroj: | European Journal of Management and Business Economics. 28:301-322 |
| ISSN: | 2444-8494 |
| DOI: | 10.1108/ejmbe-08-2018-0088 |
| Popis: | Purpose The purpose of this paper is to investigate whether Islamic stock indexes outperform conventional stock indexes, in terms of informational efficiency and risk, during the recent financial instability period. Design/methodology/approach The paper uses a state space model combined with a standard GARCH(1,1) specification while taking into account structural breakpoints. The authors allow for efficiency and volatility spillovers to be time-varying and consider break dates to locate periods of financial instability. Findings Empirical results show that Islamic stock indexes are more volatile than their conventional counterparts and are not totally immune to the global financial crisis. As regards of the informational efficiency, the results show that the Islamic stock indexes are more efficient than the conventional stock indexes. Practical implications Resulting evidence of this paper has several implications for international investors who wish to invest in Islamic and/or conventional stock markets. Policy makers and even academics and Sharias researchers should as well take preventive measures in order to ensure the stability of Islamic stock markets during turmoil periods. Overall, prudent risk management and precocious financial practices are relevant and crucial for both Islamic and conventional financial markets. Originality/value The originality of this study is performed by the use of time-varying models for volatility spillovers and informational efficiency. It considers structural break dates that think about the dynamic effect of informational flows on stock markets. The study was developed in a global framework using international data. The global analysis allows avoiding country specific effects. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|