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Journal article
Assessing the Resilience of Islamic Stocks in BRIC Countries: Analyzing Coherence and Cointegration with S&P 500 Options Implied Volatility Smirk during the Global Financial Crisis
International journal of financial studies, Vol.12(3), 67
2024
Abstract
Challenging the perceived immunity of Islamic stocks to the global financial crisis, this research investigates whether there was any coherence and long-run cointegration between Islamic stocks of BRIC countries and S&P 500 options implied volatility smirk (IVS) in BRIC countries during the global financial crisis (GFC). Employing Engle–Granger and Johansen’s cointegration tests along with wavelet coherence analysis, this study reveals significant long-run cointegration and both short-term and long-term wavelet coherence between IVS and Islamic stock returns (ISRs). Since the S&P 500 options IVS is a reliable indicator of GFC in the context of the conventional stock market, the cointegration and coherence between ISRs and IVS indicate the susceptibility of ISRs to market contagion during the GFC. These findings challenge the notion of Islamic stocks as a safe haven during financial crises, showing their susceptibility to market downturns similar to conventional stocks.
Details
- Title
- Assessing the Resilience of Islamic Stocks in BRIC Countries: Analyzing Coherence and Cointegration with S&P 500 Options Implied Volatility Smirk during the Global Financial Crisis
- Authors/Creators
- Ariful Hoque - Murdoch University, College of BusinessTanvir Bhuiyan - Murdoch University, College of BusinessThi Le - Murdoch University, College of Business
- Publication Details
- International journal of financial studies, Vol.12(3), 67
- Publisher
- MDPI
- Number of pages
- 33
- Identifiers
- 991005707264807891
- Copyright
- © 2024 by the authors.
- Murdoch Affiliation
- College of Business
- Language
- English
- Resource Type
- Journal article
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