Title

Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note

Document Type

Article

Publication Date

4-16-2019

Abstract

This study applies a non-parametric causality-in-quantiles test to examine the causal effect of geopolitical risks on return and volatility dynamics of Islamic equity and bond markets. Geopolitical risks are generally found to impact Islamic equity market volatility measures, rather than returns. However, geopolitical risks tend to predict both returns and volatility measures of Islamic bonds. Interestingly, causality, when it exists for returns and/or volatility of Islamic equities and bonds, is found to hold over entire conditional distributions of returns and volatilities, barring the extreme ends of the same.

DOI

10.1080/10242694.2018.1424613

Publication Title

Defence and Peace Economics

Volume Number

30

Issue Number

3

First Page

367

Last Page

379

ISSN

10242694

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