Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis
Hamida, S. Hammoudeh & H. Ben . 2015
We assess the co-movement between the sharia-compliant stocks and sukuk in the Gulf Cooperation Council (GCC) countries. The wavelet squared coherency approach is applied to daily data covering GCC global, corporate and financial services sukuk indexes as well as GCC sharia stocks. The empirical evidence indicates a strong dependence between these sharia stock and sukuk indexes. The degree of co-movement power is varying over time and frequency and the long-run is dominant. To highlight the importance of the wavelet analysis, we perform the value-at-risk (VaR) for a GCC multi-country portfolio. The finding provides strong evidence that the benefits of portfolio diversification vary across frequencies and time. Our results provide several practical implications for Islamic funds when selecting sharia-compliant assets and designing their optimal weights.
This paper examines the short term and long term dependencies between stock market returns for the Gulf Cooperation Council (GCC) Countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the…
This paper addresses the question whether dual long memory (LM), asymmetry and structural breaks in stock market returns matter when forecasting the value at risk (VaR) and expected shortfall (ES…
We assess the co-movement between the sharia-compliant stocks and sukuk in the Gulf Cooperation Council (GCC) countries. The wavelet squared coherency approach is applied to daily data covering…