کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1003027 | 1481795 | 2016 | 16 صفحه PDF | دانلود رایگان |
• Initial attempt to analyse multi-scale co-movement and cross-correlations of Islamic ETF returns.
• Sample includes 9 ETF markets including country specific Islamic ETF variables.
• We use wavelet coherence and MODWT to perform multi-horizon analysis.
• US and Eurozone crises reveal fundamental-based contagion on Islamic ETF returns.
• No significant contagion impact of Eurozone crisis on country specific Islamic ETFs.
This paper is the first attempt to investigate the multiscale tendency of the co-movement and cross-correlation of nine Islamic Exchange Traded Fund (ETF) returns across the global developed and emerging markets using both wavelet coherence and wavelet MODWT methods. The wavelet coherence results tend to indicate consistent co-movement between most of the ETF returns especially in the long run. The study also uncovers evidence of wide variation of co-movement across the time-scales during the global financial crisis and the Euro debt crisis. Strong co-movement can be observed during the global financial crisis, both for the medium term investors and long term investors. The paper studies the relationship between different ETF returns using wavelet multi-resolution analysis. The cross-correlation analysis also shows certain significant and positive correlations between the ETF returns, especially during the period of global financial crisis. The findings from these two recent dynamic time-scale decomposition methodologies have important policy implications for both risk management and investors’ investment policy.
Journal: Research in International Business and Finance - Volume 38, September 2016, Pages 360–375