Investors' sentiment and US Islamic and conventional indexes nexus: A time-frequency analysis

被引：44

作者：

Aloui, Chaker ^{[1
]}

Hkiri, Besma ^{[2
]}

Lau, Chi Keung Marco ^{[3
]}

Yarovaya, Larisa ^{[3
]}

机构：

[1] King Saud Univ, Coll Business Adm, Riyadh, Saudi Arabia

[2] Univ Carthage, High Sch Business & Commerce Bizerte, Int Finance Grp, Carthage, Tunisia

[3] Northumbria Univ, Newcastle Business Sch, Newcastle Upon Tyne, Tyne & Wear, England

来源：

FINANCE RESEARCH LETTERS | 2016年 / 19卷

关键词：

Investors' sentiments; Islamic and conventional stock indexes; Wavelets; Asymmetric causality; RETURNS;

D O I：

10.1016/j.frl.2016.06.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：54 / 59

页数：6

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