Dynamic connectedness between conventional and Islamic stock markets: a quantile network analysis
Notice bibliographique
Résumé
Purpose This study aims to examine the quantile connectedness between Islamic and conventional stock markets in a set of eight countries, including developed and developing economies, over a period from August 29, 2014 to September 19, 2024. Design/methodology/approach This study uses the quantile-based connectedness approach, as introduced by Ando et al. (2022), to explore the dynamic connectedness between Islamic and conventional stock markets. Findings The results of this study highlight a significant increase in connectedness between Islamic and conventional stock markets in both the upper and lower quantiles. This study also observes that Islamic indices are markedly responsive to market volatility, typically exhibiting a net recipient of shocks. Conversely, the Japanese Islamic stock market evinces a consistent net transmitter profile across diverse market conditions. Conventional indices display a more diversified behavioral pattern, with the Canadian stock market emerging as the primary net transmitter across different market scenarios. Furthermore, this study reveals pronounced asymmetry in the transmission of shocks and volatility during bearish market periods compared to bullish periods. Research limitations/implications This study addresses an important gap in the financial literature by highlighting the notion of connectedness between Islamic and conventional stock markets, particularly during crises. These findings offer crucial implications for investors and policymakers, helping them to anticipate and manage risk and make informed investment and portfolio diversification decisions. However, it is important to note that many other factors, such as economic, political and regulatory factors, will also play an important role in this connectedness between conventional and Islamic stock markets. Originality/value This study makes a noteworthy contribution to the current financial literature in three ways. Initially, it innovates the analysis of quantile connectedness between the traditional and Islamic stock markets. In addition, it examines connectedness under a range of market including bearish, stable and bullish conditions. By scrutinizing diverse quantiles, this study presents a more profound understanding of this correlation, emphasizing variations and potential asymmetries among the different market states. Such an enhanced analysis is of particular importance in assessing potential risk transmission channels and vulnerability of investments, whether Islamic or conventional. It should be noted that this study analyzes daily data during a period of significant economic and financial events, including the COVID-19 crisis in 2020 and the Russia–Ukraine conflict in 2022.
Récupéré en direct depuis OpenAlex et désinversé. Les résumés ne sont pas conservés dans cette base de données : les index inversés représentent 8,6 Go des 9,3 Go de texte de la base, et le serveur dispose de 13 Go libres.
Comment cette classification a été obtenuedéplier
Prédiction machine sur la base complète
Imitation des enseignantsNi prévalence calibrée, ni vérité terrain. Validation humaine à venir. Le volet Gemma est une étiquette directe du modèle pour chaque travail de la base, lue sur la notice réduite au titre. Le volet Codex est un classifieur appris des 10 348 étiquettes directes de Codex et calibré sur les taux pondérés de l'échantillon; les champs sans appui suffisant ne portent aucun appel Codex. Le mode candidate est l'union des deux volets; le consensus est leur intersection. Ces sorties portent le statut machine_predicted_unvalidated et ne sont pas des étiquettes humaines.
Scores du classifieur distillé par catégorie (deux têtes)
| Catégorie | Codex | Gemma |
|---|---|---|
| Métarecherche | 0,001 | 0,005 |
| Méta-épidémiologie (sens strict) | 0,000 | 0,000 |
| Méta-épidémiologie (sens large) | 0,000 | 0,000 |
| Bibliométrie | 0,003 | 0,002 |
| Études des sciences et des technologies | 0,000 | 0,000 |
| Communication savante | 0,001 | 0,001 |
| Science ouverte | 0,000 | 0,001 |
| Intégrité de la recherche | 0,000 | 0,000 |
| Charge utile insuffisante (le modèle a refusé de juger) | 0,004 | 0,000 |
Scores machine (provisoires)
Les deux têtes enseignantes du modèle étudiant, lues sur ce travail. Un score ordonne la base pour la relecture; il n'affirme jamais une catégorie, et le statut de validation accompagne chaque rangée tel quel.
Scores de référence d'un modèle non mature (critères de maturité non atteints, 7 itérations). Un score ordonne; il n'affirme jamais une catégorie.
score_only:v0-immature-baseline · tel quel depuis la passe de notation : score_only signifie que le nombre peut ordonner les travaux, et qu'aucune étiquette de catégorie n'en découleClassification
machine, non validéePrédiction automatique; un appel candidat d’une seule source (Gemma direct ou Codex distillé), pas un consensus.
Le détail, modèle par modèle et score par score, se trouve en fin de page sous « Comment cette classification a été obtenue ».