Time-Frequency Connectedness between Shariah Indices in a Systemic Crisis Era
We examine the time- and frequency-domain spillover connectedness between regional and world Shariah indices. The spillover index approach is employed with data over the period from April 30, 2012, to May 9, 2022, for African, American, Asian, European, and world emerging and developed markets’ Shar...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2023-01-01
|
| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2023/5602895 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1850235543767482368 |
|---|---|
| author | Shafi Madhkar Alsubaie Khaled H. Mahmoud Emmanuel Asafo-Adjei Ahmed Bossman |
| author_facet | Shafi Madhkar Alsubaie Khaled H. Mahmoud Emmanuel Asafo-Adjei Ahmed Bossman |
| author_sort | Shafi Madhkar Alsubaie |
| collection | DOAJ |
| description | We examine the time- and frequency-domain spillover connectedness between regional and world Shariah indices. The spillover index approach is employed with data over the period from April 30, 2012, to May 9, 2022, for African, American, Asian, European, and world emerging and developed markets’ Shariah-based equity indices. The results indicate significant time- and frequency-dependent spillovers between Shariah indices. The world and developed markets’ Shariah indices transmit the greatest return spillover to their African and Asian counterparts, which act as net recipients of system spillovers. Our findings show that Asian Shariah assets are a perfect hedge against all relevant market shocks over the last decade. Our findings have implications for Shariah market regulators, investors, practitioners, and policymakers. |
| format | Article |
| id | doaj-art-189e0120ca244c41a5dfdb5e9313173a |
| institution | OA Journals |
| issn | 1099-0526 |
| language | English |
| publishDate | 2023-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-189e0120ca244c41a5dfdb5e9313173a2025-08-20T02:02:13ZengWileyComplexity1099-05262023-01-01202310.1155/2023/5602895Time-Frequency Connectedness between Shariah Indices in a Systemic Crisis EraShafi Madhkar Alsubaie0Khaled H. Mahmoud1Emmanuel Asafo-Adjei2Ahmed Bossman3Department of Sharia and Islamic StudiesDepartment of PhysicsDepartment of FinanceDepartment of FinanceWe examine the time- and frequency-domain spillover connectedness between regional and world Shariah indices. The spillover index approach is employed with data over the period from April 30, 2012, to May 9, 2022, for African, American, Asian, European, and world emerging and developed markets’ Shariah-based equity indices. The results indicate significant time- and frequency-dependent spillovers between Shariah indices. The world and developed markets’ Shariah indices transmit the greatest return spillover to their African and Asian counterparts, which act as net recipients of system spillovers. Our findings show that Asian Shariah assets are a perfect hedge against all relevant market shocks over the last decade. Our findings have implications for Shariah market regulators, investors, practitioners, and policymakers.http://dx.doi.org/10.1155/2023/5602895 |
| spellingShingle | Shafi Madhkar Alsubaie Khaled H. Mahmoud Emmanuel Asafo-Adjei Ahmed Bossman Time-Frequency Connectedness between Shariah Indices in a Systemic Crisis Era Complexity |
| title | Time-Frequency Connectedness between Shariah Indices in a Systemic Crisis Era |
| title_full | Time-Frequency Connectedness between Shariah Indices in a Systemic Crisis Era |
| title_fullStr | Time-Frequency Connectedness between Shariah Indices in a Systemic Crisis Era |
| title_full_unstemmed | Time-Frequency Connectedness between Shariah Indices in a Systemic Crisis Era |
| title_short | Time-Frequency Connectedness between Shariah Indices in a Systemic Crisis Era |
| title_sort | time frequency connectedness between shariah indices in a systemic crisis era |
| url | http://dx.doi.org/10.1155/2023/5602895 |
| work_keys_str_mv | AT shafimadhkaralsubaie timefrequencyconnectednessbetweenshariahindicesinasystemiccrisisera AT khaledhmahmoud timefrequencyconnectednessbetweenshariahindicesinasystemiccrisisera AT emmanuelasafoadjei timefrequencyconnectednessbetweenshariahindicesinasystemiccrisisera AT ahmedbossman timefrequencyconnectednessbetweenshariahindicesinasystemiccrisisera |