Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note. Issue 3 (16th April 2019)

• Record Type: Journal Article
• Authors: Bouri, Elie; Demirer, Riza; Gupta, Rangan; Marfatia, Hardik A.
• Is Part Of: Defence and peace economics. Volume 30:Issue 3(2019)
• Page Start: 367
• Page End: 379
• Publication Date: 2019-04-16
• Subjects: Geopolitical risks -- Islamic stock and bond markets -- returns and volatility -- quantile causality; C22 -- G15; Military readiness -- Economic aspects -- Periodicals; Disarmament -- Economic aspects -- Periodicals; 338.47355
• DOI: 10.1080/10242694.2018.1424613
• Languages: English
• ISSNs: 1024-2694

Abstract

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.