Journal
FINANCE RESEARCH LETTERS
Volume 19, Issue -, Pages 54-59Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2016.06.002
Keywords
Investors' sentiments; Islamic and conventional stock indexes; Wavelets; Asymmetric causality
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Funding
- Deanship of Scientific Research at King Saud University [RGP-211]
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This paper is the first attempt to investigate the co-movement between investors' sentiment and the Islamic and conventional equity returns over diverse time-scales and frequencies in the US market. Using squared wavelet coherence methodology, we show that the time-varying nature of co-movement exists for both the Islamic and conventional indexes. Application of asymmetric causality test unveils that middle cap firms are susceptible from negative innovations in investors' sentiment. We conclude that the Sharia rules have no influence on the connectedness between sentiment and Islamic equity returns. (C) 2016 Elsevier Inc. All rights reserved.
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