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Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis

  • Published:2015-09 Issue: Volume:34 Page:121-135
  • ISSN:0927-538X
  • Container-title:Pacific-Basin Finance Journal
  • language:en
  • Short-container-title:Pacific-Basin Finance Journal

Author:

Aloui Chaker,Hammoudeh Shawkat,Hamida Hela Ben

Funder

Research Grant Program at the SABIC Chair for Islamic Financial Markets Studies at Al Imam Mohammad ibn Saud Islamic University (IMSIU)

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference55 articles.

1. A new look at the statistical model identification;Akaike;IEEE Trans. Autom. Control,1974

2. Intensity of volatility linkages in Islamic and conventional markets;Akhtar,2012

3. The effects of crude oil shocks on stock market shifts behavior: a regime switching approach;Aloui;Energy Econ.,2009

4. The relative risk performance of Islamic finance: a new guide to less risky investments;Al-Zoubi;Int. J. Theor. Appl. Financ.,2007

5. The impact of global financial shocks to Islamic indices: speculative influence or fundamental changes?;Arshad;J. Islam. Financ.,2013

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