Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile Regression

Fatima Farooq, Muhammad Meo (), Sajid Ali and Usman Rasheed

Journal of Accounting and Finance in Emerging Economies, 2020, vol. 6, issue 3, 839-856

Abstract: This study explores the asymmetric co-movement between conventional bonds market, sukuk market and Islamic stock markets of top ten Islamic economies. The study used daily data ranging from 1st January 2008 to 31st December 2019. However, for the dependency structure, we used Quantile-on-Quantile (QQ) method, which captures the dependence between the entire distributions of financial assets and uncovers some nuance features of the relationship. The empirical findings show that under the stress condition (bearish condition), both bonds and stocks markets negatively commove. However, in the bullish market condition, these markets show week positive correlation/ co-movement in all the sample economies. The findings also confirmed that under the bearish condition, a mild negative correlation exists between sukuk and Islamic stock markets except for Malaysia. However, in the bullish market condition, sukuk markets and stock markets show strong positive correlation in all sample economies. Furthermore, study also enriches quantiles estimation by using quantiles granger causality approach. The findings show that the conventional bond market, sukuk market and Islamic stock market granger cause to each other on all the quantiles (in bullish or bearish market conditions).

Keywords: QQ regression; Sukuk market; Conventional bond market; Islamic stock market (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
https://publishing.globalcsrc.org/ojs/index.php/jafee/article/view/1390/983 (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:src:jafeec:v:6:y:2020:i:3:p:839-856

DOI: 10.26710/jafee.v6i3.1390

Access Statistics for this article

More articles in Journal of Accounting and Finance in Emerging Economies from CSRC Publishing, Center for Sustainability Research and Consultancy Pakistan Contact information at EDIRC.
Bibliographic data for series maintained by Rabia Rasheed ().