Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? : wavelet-based Granger-causality, asymmetric quantile regression and NARDL approaches
Year of publication: |
2022
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Authors: | Karim, Muhammad Mahmudul ; Kawsar, Najmul Haque ; Ariff, Mohamed ; Mansur Masih |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 77.2022, p. 1-44
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Subject: | Granger causality | Implied volatility | Islamic equity | Market fear | NARDL | QRM | Wavelet | Schätzung | Estimation | Volatilität | Volatility | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Kausalanalyse | Causality analysis | Börsenkurs | Share price | Aktienindex | Stock index |
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