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Investor's Sentiment and US Islamic and Conventional Indexes Nexus: A Time-Frequency Analysis

Aloui, Chaker, Hkiri, Besma, Lau, Marco Chi Keung and Yarovaya, Larisa (2016) Investor's Sentiment and US Islamic and Conventional Indexes Nexus: A Time-Frequency Analysis. Finance Research Letters, 19. pp. 54-59. ISSN 1544-6123

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Abstract

This paper is the first attempt to investigate the co-movement between investors’ sentiment and the Islamic and conventional equity returns over diverse time-scales and frequencies in the US market. Using squared wavelet coherence methodology, we show that the time-varying nature of co-movement exists for both the Islamic and conventional indexes. Application of asymmetric causality test unveils that middle cap firms are susceptible from negative innovations in investors’ sentiment. We conclude that the Sharia rules have no influence on the connectedness between sentiment and Islamic equity returns.

Item Type: Article
Uncontrolled Keywords: Investors' Sentiments; Islamic and conventional stock indexes; Wavelets; Asymmetric causality
Subjects: H Social Sciences > HB Economic Theory
Schools: Huddersfield Business School
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Depositing User: Jonathan Cook
Date Deposited: 14 Nov 2017 13:34
Last Modified: 14 Nov 2017 13:34
URI: http://eprints.hud.ac.uk/id/eprint/33888

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