Frequency spillovers and portfolio risk implications between Sukuk, Islamic stock and emerging stock markets

Mensi, Walid; Ur Rehman, Mobeen; Maitra, Debasish; Hamed Al-Yahyaee, Khamis; Vinh Vo, Xuan

Abstract

This study examines the multiscale spillovers between five important emerging stock markets namely, Brazil, Russia, India, China, and South Africa (BRICS) and both Dow Jones Islamic stock market index (DJIM) and Dow Jones Sukuk index (DJ Sukuk) using bivariate and multivariate wavelet approaches. The results show evidence of strong time-scale co-movements between conventional and Islamic stock markets at different frequencies. Moreover, the pure contagion is evident at the short-term whereas fundamental contagion appears in the long run. Sukuk show relatively less integration with the conventional stock markets of BRICS at high and medium frequencies. DJIM and DJ Sukuk provide risk diversification opportunities for BRICS stock market volatility. The diversification benefits in terms of lower portfolio VaR is available in the high frequency scale or at the short-term. In long-run, the Islamic equity market become fundamentally integrated with the BRICS stock markets, thus, reduces hedging gains.

Citation

Mensi, W., Ur Rehman, M., Maitra, D., Hamed Al-Yahyaee, K., & Vinh Vo, X. (2023). Frequency spillovers and portfolio risk implications between Sukuk, Islamic stock and emerging stock markets. Quarterly Review of Economics and Finance, 91, 139-157. https://doi.org/10.1016/j.qref.2022.10.012

• Journal Article Type: Article
• Acceptance Date: Oct 26, 2022
• Online Publication Date: Oct 31, 2022
• Publication Date: 2023-10
• Deposit Date: Jul 14, 2025
• Journal: The Quarterly Review of Economics and Finance
• Print ISSN: 1062-9769
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 91
• Pages: 139-157
• DOI: https://doi.org/10.1016/j.qref.2022.10.012
• Public URL: https://keele-repository.worktribe.com/output/1322240
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S1062976922001260?via%3Dihub