TRANSMISSION OF CONTEMPORANEOUS SHOCKS FROM THE WORLD TO EMERGING ISLAMIC EQUITY MARKETS: AN APPLICATION OF GEWEKE MEASURE

Waqar Haider Hashmi, Nazima Ellahi, Saima Ehsan and Ajmal Waheed
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Waqar Haider Hashmi: PhD Scholar, Department of Business Administration, Foundation University Islamabad, Pakistan
Saima Ehsan: Assistant Professor, Department of Psychology, Foundation University Islamabad, Pakistan
Ajmal Waheed: Dean of Faculty of Management Sciences, Foundation University Islamabad, Pakistan

Bulletin of Business and Economics (BBE), 2021, vol. 10, issue 4, 44-55

Abstract: The aim of this study is to examine the transmission of contemporaneous spillover effects from the world Islamic equity market to emerging Islamic equity markets. Geweke (1982) measure as an extension of Granger causality test (1969) has been used using daily index data from 1st September 2010 to 30th September 2017. The results confirm transmission of contemporaneous spillover effects from MSCI World Islamic Equity Market to all the selected ten Emerging Islamic Equity Markets during the period of study.

Keywords: Instantaneous Feedback; Contemporaneous Spillover Effects; Volatility Spillover; Geweke (search for similar items in EconPapers)
JEL-codes: E44 G15 G32 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:rfh:bbejor:v:10:y:2021:i:4:p:44-55

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