Time-Frequency Connectedness between Shariah Indices in a Systemic Crisis Era

Shafi Madhkar Alsubaie, Khaled H. Mahmoud, Emmanuel Asafo-Adjei, Ahmed Bossman and Gang Jin Wang

Complexity, 2023, vol. 2023, 1-17

Abstract: 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.

Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/complexity/2023/5602895.pdf (application/pdf)
http://downloads.hindawi.com/journals/complexity/2023/5602895.xml (application/xml)

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:hin:complx:5602895

DOI: 10.1155/2023/5602895

Access Statistics for this article

More articles in Complexity from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().