کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10153689 | 1666222 | 2018 | 47 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We model the downside and upside spillover effects, systemic and tail dependence risks of the DJ World Islamic (DJWI) and DJ World Islamic Financial (DJWIF) indices, and of Islamic equity indices from Japan, USA and the UK. We draw our empirical results and conclusions by implementing a robust modeling framework consisting of Value-at-Risk (VaR), conditional VaR (CoVaR), Delta conditional VaR (ÎCoVaR), canonical vine conditional VaR (c-vine CoVaR), and time-varying and static bivariate and vine copula models. Full sample estimations indicate larger downside spillover effects and systemic risk for the DJ Islamic Financials World and USA Islamic indices, while Islamic indices from Japan and the DJ World financials have greater exposure to upside spillover risk effects. During the financial crisis the USA and UK Islamic indices display higher downside systemic risk; and the strongest negative tail asymmetric dependence occurs between the DJ Islamic Financials World, and the Islamic indices from Japan and the DJ World financials. Implications of the results are discussed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 56, September 2018, Pages 104-127
Journal: Journal of International Financial Markets, Institutions and Money - Volume 56, September 2018, Pages 104-127
نویسندگان
Syed Jawad Hussain Shahzad, Jose Arreola-Hernandez, Stelios Bekiros, Muhammad Shahbaz, Ghulam Mujtaba Kayani,