کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5107302 | 1481792 | 2017 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR](/preview/png/5107302.png)
چکیده انگلیسی
The main objective of this paper is to assess the exposure of Islamic stock indexes to systemic tail events. We use Conditional Value-at-Risk (CoVaR) and Delta CoVaR measures as developed by Adrian and Brunnermeier (2011) and a sample of Islamic and conventional stock indexes, from various developed and emerging markets, during the period September 2005 to March 2015. The empirical results reveal that the systemic risk has a moderate adverse effect on Islamic indexes, with a lower level in Gulf Cooperation Council countries (GCC hereafter). The findings also show the Asian stock indexes can be considered as effective hedge assets, after the global financial crisis (GFC hereafter). Furthermore, the empirical reveal that portfolio including Islamic stock indexes performs better than a benchmark portfolio in turmoil periods. These findings have several implications in financial decisions including the strategy of stability and asset allocation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 42, December 2017, Pages 727-744
Journal: Research in International Business and Finance - Volume 42, December 2017, Pages 727-744
نویسندگان
Nader Trabelsi, Nader Naifar,