제목 : Switching spillovers and connectedness between Sukuk and International Islamic stock markets





저자 : Walid Mensi, Yeonjeong Lee, Sami Al Kharusi and Seong-Min Yoon





요약
This study examines the switching volatility spillovers and connectedness between the Dow Jones Sukuk and global and two regional Islamic stock markets (World, Asia, and Europe). Using the Markov Switching-Vector Autoregression and spillover index models, we show that Islamic stock markets are significantly affected by their own shocks under the low-volatility regime (Regime 1), whereas the results are insignificant under the high-volatility regime (Regime 2), with the exception of the World Islamic markets. Similarly, Sukuk is affected by its own shocks, and the magnitude of the spillover increases in a high-volatility regime. Sukuk has an insignificant impact on Islamic stocks in Regime 1 and the effect becomes significant in Regime 2. Moreover, the likelihood of transition is more persistent in Regime 1 than in Regime 2. In addition, the shifts from one regime to another are more persistent than those in the opposite sense. Furthermore, the World Islamic stock markets are the net contributors of
spillover to Sukuk for all regimes, and their capacity for spillover increases in Regime 2, whereas Sukuk is the net receiver of spillover for both regimes. In contrast, the ability of the European and Asian Islamic markets as net contributors decreases in Regime 2, and the contribution of Sukuk spillovers increases. Portfolio risk analysis under low- and high-volatility regimes is also discussed.