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This paper aims at examining the co-movement dependent regime and causality relationships between conventional and Islamic returns for emerging, frontier and developed markets from November 2008 to August 2020.

First, the authors used the Markov-switching autoregression (MS–AR) model to capture the regime-switching behavior in the stock market returns. Second, the authors applied the Markov-switching regression and vector autoregression (MS-VAR) models in order to study, respectively, the co-movement and causality relationship between returns of conventional and Islamic indexes across market states.

Results show the presence of two different regimes for the three studied markets, namely, stability and crisis periods. Also, the authors found evidence of a co-movement relationship between the conventional and Islamic indexes for the three studied markets whatever the regime. For the Granger causality, it is proved only for emerging and developed markets and only during the stability regime. Finally, the authors conclude that Islamic indexes can act as diversifiers, or safe-haven assets are not strongly supported.

This paper is the first study that examines the co-movement and the causal relationship between conventional and Islamic indexes not only across different financial markets' regimes but also during the COVID-19 period. The findings may help investors in making educated decisions about whether or not to add Islamic indexes to their portfolios especially during the recent outbreak.

The objective of this paper is twofold. First, to study the safe-haven characteristic of the Islamic stock indexes and Ṣukūk during the crises time. Second, to evaluate this property in the last pandemic. This study employs the daily dataset from June 15, 2015, to June 15, 2020, for the most affected countries by the earlier disease.

This study uses the Markov-switching Capital Asset Pricing Model (CAPM) approach and the basic CAPM for the main analysis and the safe haven index (SHI) recently developed by Baur and Dimpfl (2021) for the robustness test.

Based on Baur and Lucey's (2010) definition, empirical findings indicate that Islamic stock indexes cannot be a refuge throughout the crisis regime for all selected conventional markets. However, Ṣukūk are a strong refuge in Brazilian, Russian and Malaysian markets. For the remainder countries, except Italy, the USA and Spain, the Ṣukūk index offers weak protection against serious conventional market downturns. Similar conclusions are obtained during the COVID-19 global crisis period. Finally, results are confirmed by using the SHI.

To the best of the authors’ knowledge, this paper is the first study that evaluates the safe haven effectiveness of the Islamic index and Ṣukūk using the SHI in the most impacted countries by the COVID-19 outbreak.

This study aims to explore the linkage between fluctuations in the global crude oil price and equity market in fast emerging economies of India and China.

The present research uses wavelet decomposition and maximal overlap discrete wavelet transform (MODWT), which decompose the time series into various frequencies of short, medium and long-term nature. The paper further uses continuous and cross wavelet transform to analyze the variance among the variables and wavelet coherence analysis and wavelet-based Granger causality analysis to examine the direction of causality between the variables.

The continuous wavelet transform indicates strong variance in WTIR (return series of West Texas Instrument crude oil price) in short, medium and long run at various time periods. The variance in CNX Nifty is observed in the short and medium run at various time periods. The Chinese stock index, i.e. SCIR, experiences very little variance in short run and significant variance in the long and medium run. The causality between the changes in crude oil price and CNX Nifty is insignificant and there exists a bi-directional causality between global crude oil price fluctuations and the Chinese equity market.

To the best of the authors’ knowledge, very limited work has been done where the researchers have analyzed the linkage between the equity market and crude oil price fluctuations under the framework of discrete wavelet transform, which overlooks the bottleneck of non-stationarity nature of the time series. To bridge this gap, the present research uses wavelet decomposition and MODWT, which decompose the time series into various frequencies of short, medium and long-term nature.

The purpose of this study is to find the empirical causal relationship between Islamic bank term deposit rates (IBTDR) and conventional bank term deposit rates (CBTDR) in the short-term.

This study analyzes the short-term causal relationship between the term deposit rates (TDRs) for the time period of three years 2015 to 2018 on monthly data of IBTDR and CBTDR. Granger causality test, variance decomposition and impulse response function are applied to examine if there is any short-term causal relationship between the IBTDR and CBTDR.

This empirical study establishes that the IBTDR are dependent on the CBTDR in the short-term.

This research provides an insight for the customers of TDRs of the Islamic banking system. This study is not only a significant insight for the end-users but also for the regulators and researchers as it provides important empirical evidence. This could lead to further research on the reasons for causality.

There has not been any study of this nature in Pakistan to identify the causality of the two-TDRs. This research expands the dynamics of research in the context of the banking sector.

This study aims to establish the dynamic relationship between international crude oil prices and Indian stock prices represented by the Bombay Stock Exchange (BSE) energy index.

Using Johansen’s cointegration test, vector error correction (VEC) model, impulse response function and variance decomposition test the study tries to ascertain the short-term and long-term dynamic association between the oil price shock and the movement of stock price and Granger causality test is applied to find out the nature of causality.

Considering vector autoregression estimation, the present study analyzes the relationship between the variables and tries to make a valid conclusion. The result of the co-integration test exhibits the presence of a long-term association between these two macro-economic variables during the period under study. Also, in the short-run VEC Granger causality result reveals that the movement of international crude oil price significantly influences the Indian stock price.

To get a more robust result the study can be further extended by taking a longer time period with data of shorter time-frequency such as daily or weekly and further by using more sophisticated econometric and statistical tools. Further, the study can be extended to firm-level investigation considering the forward trading concentration with the Indian oil basket.

In today’s globalized era, forecasting of share price movement helps investors in predicting the market and invest accordingly. Through this liquidity of the markets enhance and markets become more active in the global arena.

This study represents fresh findings in the changing time period the linkage between crude oil prices and stock prices which are of value to the academicians, researchers, policymakers, investors, market regulators, etc.

This paper aims to deepen the understanding of the relationship between global economic uncertainty and price volatility, specifically focusing on commodity, industrial materials and energy price indices as proxies for global inflation, analyzing data from 1997 to 2020.

The dynamic conditional correlation generalized autoregressive conditional heteroscedasticity model is used to study the dynamic relationship between variables over a while.

The results demonstrated a positive relationship between commodity prices and the global economic policy uncertainty (GEPU). Except for 1999–2000 and 2006–2008, the results of the energy price index model were very similar to those of the commodity price index. A predominant positive relationship is observed focusing on the connection between GEPU and the industrial material price index. The results of the pairwise Granger causality reveal a unidirectional relationship between the GEPU – the Global Commodity Price Index – and the GEPU – the Global Industrial Material Price Index. However, there is bidirectional causality between the GEPU – the Global Energy Price Index. In sum, changes in price indices can be driven by GEPU as a political factor indicating unfavorable economic conditions.

This paper provides a deeper understanding of the role of global uncertainty in the global inflation process. It fills the gap in the literature by empirically investigating the dynamic movements of global uncertainty and the three most important groups of prices.

The purpose of this paper is to investigate the impact of foreign direct investment (FDI) on the stock market development in Nepal.

The study used Johansen cointegration approach to determine long-run relationship and VEC Granger causality test to check the causal relations between the variables. The sample covered annual time-series data for the period 1996–2020.

The results suggest that FDI plays significant positive role in the stock market development in the long-run but inversely affect in the short-run. Unidirectional causality running from FDI to stock market development is observed in the long-run and bidirectional in the short-run. There is an insignificant positive relationship between exchange rate and FDI in the short-run. Banking sector development complements stock market development in the short-run but act as a substitute in the long-run. The statistically negative coefficient of exchange rate imply that the appreciation of the home currency encourage the development of the stock market in the long-run.

The positive and statistical coefficients of cointegration results indicate that FDI complements the development of stock market in Nepal in the long-run. Furthermore, the depreciation of the domestic currency may potentially contribute to the foreign direct investments in Nepal.

This study investigates (1) whether democratization drives sovereign credit ratings (SCR) changes (the “democratic advantage”) or whether SCR changes affect democratization, (2) whether the degree of democratization in sub-Saharan African (SSA) countries affects the associations and (3) whether the associations are significantly affected by resource dependence.

This study investigates the effects of SCR changes on democracy in 22 SSA countries over the period of 2000–2020 VEC Granger causality/block exogeneity Wald tests, and impulse responses and variance decomposition analyses with Cholesky ordering and Monte Carlo standard errors in a panel VECM framework.

The full sample impulse responses find that a SCR shock has a long-run detrimental effect on the democracy and political rights but only a short-run positive impact on civil liberties. Among the sub-samples, it is found that the extent of natural resource dependence does not affect the magnitude of SCR shocks on democratization mentioned above but it is found that a SCR shock affects long-run democracy in SSA countries that are relatively more democratic but is more likely to drive democratic deepening in less democratic SSA countries. The full sample variance decompositions further finds that the variance of SCR to a political rights shock outweighs the effects of all the macroeconomic factors, whereas in more diversified SSA countries, the variances of SCR are much greater for democracy and political rights shocks, which suggests that democratization and political rights in diversified SSA economies are severely affected by SCR changes. In the case of the high and low democracy sub-samples, it is found that the variance of SCR in the relatively higher democracy sub-sample is greater than in the low democracy sub-sample.

These results have three implications for democratization in SSA. First, the effect of a SCR change is not a democratically agnostic and impacts political rights to a greater extent than civil liberties. Second, SCR changes have the potential to spark a negative cycle in SSA countries whereby a downgrade leads to a deterioration in socio-political stability coupled with increased financial economic constraints that in turn drive further downgrades and macroeconomic hardship. Finally, SCR changes are potentially detrimental for democracy in more democratic SSA countries but democratically supportive in less democratic SSA countries. Thus, SSA countries that are relatively politically sophisticated are more exposed to the effects of SCR changes, whereas less politically sophisticated SSA countries can proactively shape their SCRs by undertaking political reforms.

This study is the first to examine the associations between SCR and democracy in SSA. This is critical literature for the Africa’s scholarly work given that the debate on unfair rating actions and claims of subjective rating methods is ongoing.

This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion pattern after 2000, but not before. This study also confirms that the mean reversion property is significantly reduced if the effect of change in trading volume is excluded from the return of a stock with a significant contemporaneous correlation between return and change in trading volume in the post-2000 market. The results appear in both the Korea Composite Stock Price Index and Korea Securities Dealers Automated Quotation. This phenomenon stems from the significance of the return response to change in trading volume per se and not the sign of the response. Additionally, the findings imply that the trading volume has a term structure because of the mean reversion of the trading volume and the return also has a partial term structure because of the contemporaneous correlation between return and change in trading volume. This conclusion suggests that considering the short-term impact of change in trading volume enables a more efficient observation of the market and avoidance of asset misallocation.

As financial markets for environmentally friendly investment grow in both scope and size, analyzing the relationship between green financial markets and African stocks becomes an important issue. Therefore, this paper examines the role of infectious disease-based uncertainty on the dynamic spillovers between African stock markets and clean energy stocks.

The authors employ the dynamic spillover in time and frequency domains and the nonparametric causality-in-quantiles approach over the period of November 30, 2010, to August 18, 2021.

These findings are discernible in this study's analysis. First, the authors find evidence of strong connectedness between the African stock markets and the clean energy market, and long-lived but weak in the short and medium investment horizons. Second, the BDS test shows that nonlinearity is crucial when examining the role of infectious disease-based equity market volatility in affecting the interactions between clean energy stocks and African stock markets. Third, the causal analysis provides evidence in support of a nonlinear causal relationship between uncertainties due to infectious diseases and the connection between both markets, mostly at lower and median quantiles.

Considering the global and recent use of clean energy equities and the stock markets for hedging and speculative purposes, one may argue that rising uncertainties may significantly influence risk transmissions across these markets. This study, therefore, is the first to examine the role of pandemic uncertainty on the connection between clean stocks and the African stock markets.