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Investors’ sentiment and US Islamic and conventional indexes nexus: a time–frequency analysis

Investors’ sentiment and US Islamic and conventional indexes nexus: a time–frequency analysis
Investors’ sentiment and US Islamic and conventional indexes nexus: a time–frequency analysis
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.
investors' sentiments, islamic and conventional stock indexes, wavelets, asymmetric causality
1544-6123
54-59
Aloui, Chaker
83abae9e-6c56-46f0-8f64-bb5c9dc99e28
Hkiri, Besma
e3ce3fa3-6367-4d6a-9927-a565075ab3de
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Aloui, Chaker
83abae9e-6c56-46f0-8f64-bb5c9dc99e28
Hkiri, Besma
e3ce3fa3-6367-4d6a-9927-a565075ab3de
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Aloui, Chaker, Hkiri, Besma, Lau, Chi Keung Marco and Yarovaya, Larisa (2016) Investors’ sentiment and US Islamic and conventional indexes nexus: a time–frequency analysis. Finance Research Letters, 19, 54-59. (doi:10.1016/j.frl.2016.06.002).

Record type: Article

Abstract

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.

Text
CLEAN_V5_ Aloui et al. Islamic finance 12.05.2016 - Accepted Manuscript
Restricted to Repository staff only until 31 October 2018.
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More information

Accepted/In Press date: 2 June 2016
e-pub ahead of print date: 3 June 2016
Keywords: investors' sentiments, islamic and conventional stock indexes, wavelets, asymmetric causality

Identifiers

Local EPrints ID: 426313
URI: https://eprints.soton.ac.uk/id/eprint/426313
ISSN: 1544-6123
PURE UUID: 730453d7-3743-45fc-a0fe-6b0ac13deb93

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Date deposited: 22 Nov 2018 17:30
Last modified: 18 Jul 2019 10:32

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Contributors

Author: Chaker Aloui
Author: Besma Hkiri
Author: Chi Keung Marco Lau
Author: Larisa Yarovaya

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