Network Connectedness of World's Islamic Equity Markets

Md Iftekhar Hasan Chowdhury, Faruk Balli and M. Kabir Hassan

Finance Research Letters, 2021, vol. 41, issue C

Abstract: We investigate connectedness across 52 Islamic equity markets using return spillovers. A network analysis shows that most European Islamic markets are deeply connected, whereas the Asian Islamic markets exhibit weak connectedness. Further investigations show that connectedness via negative returns is stronger than that via positive returns. The two types of connectedness also evolve differently over time in response to macroeconomic shocks. The global equity market volatility indicates positive coherence, but the real economic sector volatility indicates negative coherence. Finally, we find no significant impact of economic uncertainty, unlike in conventional markets. Understanding worldwide Islamic equity markets connectedness has the utmost importance for restricted Islamic investors to reduce the risk of over-exposed to the regional crisis.

Keywords: Islamic equity markets; Return spillovers; Network analysis; Wavelet coherence (search for similar items in EconPapers)
JEL-codes: C58 F36 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316925

DOI: 10.1016/j.frl.2020.101878

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