Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis

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

doi:10.1016/j.frl.2016.06.002

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 journal › Article › peer-review

22 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.

Original language	English
Pages (from-to)	54-59
Number of pages	6
Journal	Finance Research Letters
Volume	19
DOIs	https://doi.org/10.1016/j.frl.2016.06.002
Publication status	Published - 1 Nov 2016

Bibliographical note

Funding Information:
C. Aloui would like to extend his sincere appreciation to the Deanship of Scientific Research at King Saud University for its funding of this research through the Research Group Project [RGP-211].

Publisher Copyright:
© 2016

Copyright:
Copyright 2016 Elsevier B.V., All rights reserved.

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title = "Investors{\textquoteright} sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis",

abstract = "This paper is the first attempt to investigate the co-movement between investors{\textquoteright} 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{\textquoteright} sentiment. We conclude that the Sharia rules have no influence on the connectedness between sentiment and Islamic equity returns.",

author = "Chaker Aloui and Besma Hkiri and Lau, {Chi Keung Marco} and Larisa Yarovaya",

note = "Funding Information: C. Aloui would like to extend his sincere appreciation to the Deanship of Scientific Research at King Saud University for its funding of this research through the Research Group Project [RGP-211]. Publisher Copyright: {\textcopyright} 2016 Copyright: Copyright 2016 Elsevier B.V., All rights reserved.",

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doi = "10.1016/j.frl.2016.06.002",

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AU - Aloui, Chaker

AU - Hkiri, Besma

AU - Lau, Chi Keung Marco

AU - Yarovaya, Larisa

N1 - Funding Information: C. Aloui would like to extend his sincere appreciation to the Deanship of Scientific Research at King Saud University for its funding of this research through the Research Group Project [RGP-211]. Publisher Copyright: © 2016 Copyright: Copyright 2016 Elsevier B.V., All rights reserved.

PY - 2016/11/1

Y1 - 2016/11/1

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.

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Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis

Abstract

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