Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis

Chaker Aloui, Besma Hkiri, Chi Keung Lau and Larisa Yarovaya

Finance Research Letters, 2016, vol. 19, issue C, 54-59

Abstract: This paper is the first attempt to investigate the co-movement between investors’ sentiment and the Islamic and conventional equity returns over diverse time-scales and frequencies in the US market. Using squared wavelet coherence methodology, we show that the time-varying nature of co-movement exists for both the Islamic and conventional indexes. Application of asymmetric causality test unveils that middle cap firms are susceptible from negative innovations in investors’ sentiment. We conclude that the Sharia rules have no influence on the connectedness between sentiment and Islamic equity returns.

Keywords: Investors’ sentiments; Islamic and conventional stock indexes; Wavelets; Asymmetric causality (search for similar items in EconPapers)
JEL-codes: E32 G11 G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612316301039
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:19:y:2016:i:c:p:54-59

DOI: 10.1016/j.frl.2016.06.002

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().