Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis
Chi Keung Lau and
Finance Research Letters, 2016, vol. 19, issue C, 54-59
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: G11 G14 E32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:19:y:2016:i:c:p:54-59
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