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- W1157145237 abstract "The main purpose of this study is to analyze the interactive linkages between the sharia stocks and sukuk (Islamic bonds) in the Gulf Cooperation Countries (GCC), using the bivariate two-state Markov switching regime EGARCH of Henry (2009). The results support the presence of two different regimes in both the conditional mean and the conditional variance of those sharia stock and sukuk returns. The first regime corresponds to a high mean–low variance regime and the second is characterized by a low mean–high variance. Furthermore, our results point out that the linkages between the sharia stocks and sukuk GCC markets are also regime-dependent and the sharia stock market volatility reacts asymmetrically to events in the sukuk markets. Additionally, we provide to the literature new evidence which asserts that changes in the GCC sukuk price index have a significant impact on the probability of transmission across regimes. Our findings have several economic and managerial implications for Islamic portfolio managers, Islamic hedge funds, stock market regulators, and policy makers." @default.
- W1157145237 created "2016-06-24" @default.
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- W1157145237 date "2015-09-01" @default.
- W1157145237 modified "2023-09-30" @default.
- W1157145237 title "Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis" @default.
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- W1157145237 doi "https://doi.org/10.1016/j.pacfin.2015.06.004" @default.
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