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Co-movement dynamics between global sukuk and bond markets

2019, International Journal of Emerging Markets

Purpose Market links (and price discovery) between financial assets and lead–lag relationships are topics of interest for financial economists, financial managers and analysts. The lead–lag relationship analysis should consider both short and long-term investors. From a portfolio diversification perspective, the first type of investor is generally more interested in determining the co-movement of financial assets at higher frequencies, which are short-run fluctuations, while the latter concentrates on the relationship at lower frequencies, or long-run fluctuations. The paper aims to discuss these issues. Design/methodology/approach For this study, a technique was employed known as the wavelet approach, which has recently been imported to finance from engineering sciences to study the co-movement dynamics between global sukuk and bond markets. Data cover the period from January 2010 to December 2015. Findings The results indicate that: there is no unidirectional causality from develo...

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The lead lag relationship analysis should consider both short and long term investors / , - , while the latter concentrates on the relationship at lower frequencies / , Design methodology approach For this study - - 2015. to December , . a technique was employed known as the wavelet approach Jones indices , Findings The results indicate that , - : , Malaysia , Cited References which has recently been imported to Data cover the period from January ; , and in relation to emerging markets , India and South Korea bond indices but not China bond indices / , and bond indices , View Related Records the Malaysian sukuk market has Most recently cited by while in terms of the Dow Jones sukuk ' there is no unidirectional causality between the listed emerging markets and the sukuk index except Indonesia s market during the sample period Originality value The evidence hitherto unexplored 84 which are The paper aims to discuss these there is no unidirectional causality from developed market bond indices to Malaysia and Dow which is promising for fixed income investors of a developed market a bidirectional causality with Indonesia index , . or long run fluctuations finance from engineering sciences to study the co movement dynamics between global sukuk and bond markets 2010 financial From a portfolio diversification the first type of investor is generally more interested in determining the co movement of financial assets at higher frequencies short run fluctuations issues ) and price discovery managers and analysts in All Databases See more counts - . - , Xueyong - . : KeyWords Plus - ; MGARCH DCC ; Sukuk ; Islamic finance ; , Bhuiyan Bond ; INTERNATIONAL EVIDENCE COINTEGRATION Saiti ; PORTFOLIO DIVERSIFICATION ; ; INVESTMENT HORIZONS - ; INTEREST RATES STOCK RETURNS . Cheng ' A case study of China s energy stock market Keywords : , Jiang : . (2020) networks CHAOS Author Keywords ; Multi scale features of volatility spillover which was produced by the application of a wavelet cross correlation amongst the selected sukuk provides robust and useful information for international financial analysts as well as long and short term investors Liu : ; ; ISLAMIC STOCK , ; Rubaiyat Ahsan ; Buerhan et al . Maya ; Comparative analysis between global sukuk and bond indices TRANSMISSION , Puspa . LINKAGES : - - value at risk approach JOURNAL OF ISLAMIC ACCOUNTING AND BUSINESS RESEARCH Author Information Reprint Address , ( : Saiti B ) , Istanbul Sabahattin Zaim Univ Addresses [1] [2] (2020) reprint author Dept Islamic Econ & , Finance , Istanbul View All . Turkey : , Int Islamic Univ Malaysia Kulliyyah Econ , Istanbul Sabahattin Zaim Univ - : E mail Addresses borhanseti @ & Management Sci Dept Islamic Econ & Finance , , Use in Web of Science , Kuala Lumpur Malaysia Istanbul , Web of Science Usage Count Turkey 12 . gmail com Last Publisher , EMERALD GROUP PUBLISHING LTD HOWARD HOUSE , , WAGON LANE BINGLEY BD 16 1 , WA , W YORKSHIRE 180 12 Days Since 2013 ENGLAND Learn more Journal Information Impact Factor : This record is from Journal Citation Reports : Web of Science Core Collection Categories / - Social Sciences Citation Index Classification : Research Areas Business & Web of Science Categories : Economics ; Business ; Economics Suggest a correction Management If you would like to improve the quality of the data in this record, please suggest a See more data fields correction.  1 of : 84 Cited References Showing 1. 30 of 84 (from View All in Cited References page : 41 More international evidence on the historical properties of business cycles By : ' A Hearn , ; B Woitek , Times Cited U JOURNAL OF MONETARY ECONOMICS Volume : 47 :2 Issue : 321-346 Pages Web of Science Core Collection) : Published APR 2001 1  2. : The impact of crude oil price on Islamic stock indices of South East Asian countries By : , Abdullah Saiti , ; Buerhan : 16 BORSA ISTANBUL REVIEW 3. ; Ahmad Monir Volume , Masih Issue :4 Pages : , Al Refai Hisham ; , ; Eissa Mohamed Abdelaziz Zeitun INTERNATIONAL JOURNAL OF EMERGING MARKETS : , ; Alam Nafis Kabir ; , Haque : 13 Volume , Aloui Chaker Investors By ; Issue :3 Pages ; Rania : , Aloui ' Ben Hamida : 52 Volume , Issue :2 Pages : 335-351 : 2017 Published , Hkiri Besma ; , Lau : 22-29 : Published : 603-626 Pages ; : 54-59 Chi Keung Marco Volume : , Aloui Chaker ; , Hkiri Besma ; , Lau : , ; ARSHANAPALLI , B DOUKAS & : 19 Pages et al , ; Barassi MR Caporale 2013 SEP ; GM - :3 A Wavelet Based View Times Cited Published Marco Chi Keung ; : et al - : 2018 AUG - : 10 A time frequency analysis Times Cited 2016 NOV : :2 International evidence using wavelet framework Times Cited . 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