斋月对商品和股票市场一体化的影响

IF 3.6 Q1 BUSINESS, FINANCE Review of Accounting and Finance Pub Date : 2023-04-18 DOI:10.1108/raf-01-2023-0001
Amine Ben Amar, Stéphane Goutte, Amir Hasnaoui, Amine Marouane, Héla Mzoughi
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引用次数: 0

摘要

目的本研究旨在研究两种战略商品(原油和黄金)和一组伊斯兰和传统地区股市指数之间的依赖结构和波动溢出,同时考察斋月效应设计/方法论/方法实证策略由依赖性和连通性两个互补的衡量标准组成。本研究首先使用copula来检验所考虑的市场之间的依赖性,然后溢出计算它们之间的连通性大小。发现copula分析表明,Frank的copula似乎更好地捕捉了大多数资产回报之间的关系,并强调了几乎不存在极端依赖性,因此也强调了多元化机会的存在。此外,连通性分析表明,与原油相比,黄金是净波动性的接受者,从而提供了更大的多元化收益。此外,高水平的时变连通性支持所研究的金融市场之间的强大整合,特别是在新冠肺炎危机期间。此外,所研究的市场之间的连通性在Ramdan子时期有所增加,支持了在这个宗教节日期间考虑的金融市场之间的转移传染。实际含义研究结果使投资者更好地了解了大宗商品市场与一系列伊斯兰和传统地区股票市场之间相互依存关系的性质和程度。事实上,投资者必须清楚地了解伊斯兰市场和传统市场在压力和无压力时期是如何分割或整合的,以及斋月对市场相互依存性的影响,以更好地评估风险,使投资组合多样化,并实施更有效的对冲策略。独创性/价值尽管大量文献研究了金融市场之间的金融传染和波动性传播,但关于商品市场和股票市场之间的联系,尤其是在研究宗教节日对传统资产和伊斯兰资产之间互动的影响时,仍有很多话要说。本文通过关注六个不同地区的伊斯兰股指、传统股指、黄金和原油之间的依赖结构以及联系来填补这一空白,同时考察斋月效应。
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The Ramadan effect on commodity and stock markets integration
Purpose This study aims to investigate the dependence structure and volatility spillovers among two strategic commodities (crude oil and gold) and a set of Islamic and conventional regional stock market indices, while examining the Ramadan effect Design/methodology/approach The empirical strategy consists of two complementary measures of dependence and connectedness. This study first uses copulas to examine the dependency between the markets considered, then spillovers compute the magnitude of the connectedness among them. Findings The copulas analysis shows that Frank’s copula appears to better capture the relationship between most asset returns and highlights the almost absence of extreme dependence and, therefore, the existence of diversification opportunities. Moreover, the connectedness analysis suggests that gold is a net volatility receiver and provides, thereby, greater diversification benefits compared to crude oil. In addition, the high levels of time-varying connectedness support strong integration among the financial markets studied, specifically during the COVID-19 crisis period. Furthermore, the connectedness among the markets studied increases during the Ramdan subperiods, supporting shift contagion among financial markets considered during this religious holiday. Practical implications The results provide investors with a better understanding of the nature as well as the magnitude of the interdependences between commodity markets and a set of Islamic and conventional regional stock markets. Indeed, it is of paramount importance for investors to clearly understand how Islamic and conventional markets are segmented or integrated during stress and stress-free periods, as well as the effect of the month of Ramadan on the interdependence among markets, to better assess risks, diversify portfolios and implement more effective hedging strategies. Originality/value While a considerable body of literature examines financial contagion and volatility transmission between financial markets, there is still much to be said regarding connectedness among commodity and stock markets, particularly when it comes to studying the effects of religious holidays on the interaction between conventional and Islamic assets. This paper fills in this gap by focusing on the dependence structure as well as the connectedness between Islamic stock indices, conventional stock indices, gold and crude oil for six different regions, while examining the Ramadan effect.
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来源期刊
CiteScore
4.30
自引率
0.00%
发文量
18
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