Decoupling hypothesis of Islamic stocks: Evidence from copula CoVaR approach

Muhammad Usman, Muhammad Ali Qamar Jibran, Rafi Amir-ud-Din and Waheed Akhter

Borsa Istanbul Review, 2019, vol. 19, issue Supplement 1, 56-63

Abstract: This paper studies the dependence structure between Islamic and conventional stocks in five countries (USA, UK, Japan, Malaysia and Pakistan) using the copula CoVaR approach for the period 2004–2016. Results from the copula models show that, for four countries, the Islamic stocks are upper tail dependent and lower tail independent with conventional stocks. While for one country, Islamic stocks are lower tail dependent with the conventional stocks without having upper dependence. We also find that dependence structure between Islamic and conventional stocks is time varying for all the countries. We also estimate the CoVaR for conventional stocks conditional on Islamic stocks being at their VaR. The results show the diversification benefits of the Islamic stocks and investors can use Islamic finance instruments for hedging. We then test for the asymmetry of upside and downside risks and find that there is an asymmetry between upside and downside risks.

Keywords: Islamic stocks; Risk spillovers; Copula CoVaR (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.sciencedirect.com/science/article/pii/S221484501830173X (application/pdf)

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:bor:bistre:v:19:y:2019:i:s1:p:56-63

Access Statistics for this article

More articles in Borsa Istanbul Review from Research and Business Development Department, Borsa Istanbul Contact information at EDIRC.
Bibliographic data for series maintained by Ahmet Palu ().