Journal
DEFENCE AND PEACE ECONOMICS
Volume 30, Issue 3, Pages 367-379Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/10242694.2018.1424613
Keywords
Geopolitical risks; Islamic stock and bond markets; returns and volatility; quantile causality
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This study applies a non-parametric causality-in-quantiles test to examine the causal effect of geopolitical risks on return and volatility dynamics of Islamic equity and bond markets. Geopolitical risks are generally found to impact Islamic equity market volatility measures, rather than returns. However, geopolitical risks tend to predict both returns and volatility measures of Islamic bonds. Interestingly, causality, when it exists for returns and/or volatility of Islamic equities and bonds, is found to hold over entire conditional distributions of returns and volatilities, barring the extreme ends of the same.
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