On the investors' sentiments and the Islamic stock-bond interplay across investments' horizons

Chaker Aloui, Syed Jawad Hussain Shahzad, Besma Hkiri, Ben Hamida Hela and Muhammad Asif Khan

Pacific-Basin Finance Journal, 2021, vol. 65, issue C

Abstract: In this paper, we examine the relevance of investor sentiment to Islamic stock-bond interplay in the time-frequency domain. Using various wavelet methods including multiple and partial wavelet coherence and bivariate and multivariate nonlinear causality tests, our results reveal that the connectedness between Islamic stocks and bonds is affected by investor sentiment over short- and long-run investment horizons. Strong multivariate nonlinear causalities are evidenced between the three variables. Static and rolling-window estimates of the percentage of total volume and percentage of significant area from wavelet coherence indicate the relevance of investor sentiment in explaining the link between Islamic stocks and bonds over time-scales and investment horizons. From a portfolio management and financial stability perspective, our results provide prominent implications and operational recommendations.

Keywords: Sharia stocks; Sukuk; Investor sentiment; Multiple and partial wavelet coherence (search for similar items in EconPapers)
JEL-codes: C14 C58 G1 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20307034

DOI: 10.1016/j.pacfin.2020.101491

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