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- Title
Time-Frequency Connectedness between Shariah Indices in a Systemic Crisis Era.
- Authors
Alsubaie, Shafi Madhkar; Mahmoud, Khaled H.; Asafo-Adjei, Emmanuel; Bossman, Ahmed
- Abstract
We examine the time- and frequency-domain spillover connectedness between regional and world Shariah indices. The spillover index approach is employed with data over the period from April 30, 2012, to May 9, 2022, for African, American, Asian, European, and world emerging and developed markets' Shariah-based equity indices. The results indicate significant time- and frequency-dependent spillovers between Shariah indices. The world and developed markets' Shariah indices transmit the greatest return spillover to their African and Asian counterparts, which act as net recipients of system spillovers. Our findings show that Asian Shariah assets are a perfect hedge against all relevant market shocks over the last decade. Our findings have implications for Shariah market regulators, investors, practitioners, and policymakers.
- Subjects
ISLAMIC law; INVESTORS; MATHEMATICAL connectedness; EMERGING markets; CRISES
- Publication
Complexity, 2023, p1
- ISSN
1076-2787
- Publication type
Article
- DOI
10.1155/2023/5602895