Geopolitical risks and movements in Islamic bond and equity markets : a note
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Date
Authors
Bouri, Elie
Demirer, Riza
Gupta, Rangan
Marfatia, Hardik A.
Journal Title
Journal ISSN
Volume Title
Publisher
Routledge
Abstract
This study applies a non-parametric causality-in-quantiles test to examine the causal effect of geopolitical risks on return and volatility dynamics of Islamic equity and bond markets. Geopolitical risks are generally found to impact Islamic equity market volatility measures, rather than returns. However, geopolitical risks tend to predict both returns and volatility measures of Islamic bonds. Interestingly, causality, when it exists for returns and/or volatility of Islamic equities and bonds, is found to hold over entire conditional distributions of returns and volatilities, barring the extreme ends of the same.
Description
Keywords
Geopolitical risks (GPRs), Islamic stock and bond markets, Returns and volatility, Quantile causality
Sustainable Development Goals
Citation
Elie Bouri, Riza Demirer, Rangan Gupta & Hardik A. Marfatia (2019) Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note, Defence and Peace Economics, 30:3, 367-379, DOI: 10.1080/10242694.2018.1424613.