TY - JOUR
T1 - Investors' Sentiment and US Islamic and Conventional Indexes Nexus
T2 - A Time-Frequency Analysis
AU - Aloui, Chaker
AU - Hkiri, Besma
AU - Lau, Chi Keung Marco
AU - Yarovaya, Larisa
PY - 2016/11
Y1 - 2016/11
N2 - 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.
AB - 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.
KW - Investors' sentiments
KW - Islamic and conventional stock indexes
KW - Wavelets
KW - Asymmetric causality
UR - https://www.journals.elsevier.com/finance-research-letters/
UR - https://www.scopus.com/record/display.uri?eid=2-s2.0-84973466214&origin=resultslist&sort=plf-f&src=s&st1=Investors%27+sentiment+and+US+Islamic+and+conventional+indexes+nexus%3a+A+time--frequency+analysis&st2=&sid=503318630b04577f8ac9f5f60ebab515&sot=b&sdt=b&sl=109&s=TITLE-ABS-KEY%28Investors%27+sentiment+and+US+Islamic+and+conventional+indexes+nexus%3a+A+time--frequency+analysis%29&relpos=0&citeCnt=11&searchTerm=
U2 - 10.1016/j.frl.2016.06.002
DO - 10.1016/j.frl.2016.06.002
M3 - Article
VL - 19
SP - 54
EP - 59
JO - Finance Research Letters
JF - Finance Research Letters
SN - 1544-6123
ER -