Asymmetric dependence structures and decoupling hypothesis: Islamic versus conventional equity indices with copula approach
Bibliographic record
Abstract
Purpose The purpose of this paper is to examine the dependence structure between the US conventional stock market and each Islamic and conventional stock market provided by the Dow Jones index, namely, for the UK, Canada, Europe, the emerging countries and Asia-Pacific. This paper considers both the bearish and bullish market phases of the 2008 global financial crisis to analyze the financial contagion. Design/methodology/approach The authors implement the copula framework-based GJR-GARCH-t model for the period from December 31, 2004 to September 30, 2016. Findings The marginal models suggest a strong persistence of volatility in all stock markets. The dependence structure for stock market pairs under-consideration is not all strictly symmetrical. Moreover, the Islamic stock markets witness the same behavior as their conventional counterparts. Finally, the resilience and the decoupling hypotheses are not all around upheld by the empirical proof. Originality/value The findings of this paper are very important for global investors in their risk management during extreme market events. As the Sukuk is considered as a safe haven during crisis episodes, the investors are invited to take it into account for further portfolio diversification.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.009 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.001 | 0.002 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.003 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".