Investors' Sentiment and US Islamic and Conventional Indexes Nexus: A Time-Frequency Analysis

Chaker Aloui, Besma Hkiri, Chi Keung Marco Lau, Larisa Yarovaya

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

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.
LanguageEnglish
Pages54-59
Number of pages6
JournalFinance Research Letters
Volume19
Early online date3 Jun 2016
DOIs
Publication statusPublished - Nov 2016
Externally publishedYes

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Comovement
Equity returns
Frequency analysis
Investor sentiment
Time-varying
Wavelets
Causality test
Innovation
Sentiment
Connectedness
Time scales
Methodology

Cite this

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Investors' Sentiment and US Islamic and Conventional Indexes Nexus : A Time-Frequency Analysis. / Aloui, Chaker; Hkiri, Besma; Lau, Chi Keung Marco; Yarovaya, Larisa.

In: Finance Research Letters, Vol. 19, 11.2016, p. 54-59.

Research output: Contribution to journalArticle

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