Intraday bidirectional volatility spillover across international stock markets: does the global financial crisis matter?

This article studies volatility spillover between the US and the three largest European stock markets (Frankfurt, London and Paris) around the time of the recent Subprime crisis. In order to investigate the impact of the latter, we break our sample down into two sub-periods: a pre-crisis period and a post-crisis period, using a structural break test that has the advantage of endogenously testing for further breaks in the data. Unlike previous studies that have frequently investigated this issue using low frequency data, our article makes use of intraday data. Accordingly, using Threshold generalized autoregressive conditional heteroscedasticity (GARCH) model estimations, we find weak evidence of volatility transmission between the two regions before the Subprime crisis. However, during the post-crisis period, we record returns and volatility spillover from US to European markets and vice versa at different times of the trading day, indicating that the two regions became more dependent during the recent Subprime crisis, a finding that supports the contagion hypothesis between the US and European stock markets.     

Can the Islamic bank be an emerging leader? A panel data causality analysis

This short note investigates the ability of Islamic banks (IBs) to play a leading role in revamping and driving conventional banking. To this end, we used a panel of 10 major conventional banks (CBs) and 10 IBs over the period 2006–2013. We applied panel regression tests and carried out a panel causality analysis. Our findings identified no significant causality effect from IBs to CBs and indicated that IBs are not able to play a role of leader.     

Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms

In this paper, we consider portmanteau tests for testing the adequacy of multiplicative seasonal autoregressive moving‐average models under the assumption that the errors are uncorrelated but not necessarily independent. We relax the standard independence assumption on the error terms in order to extend the range of applications of the seasonal autoregressive moving‐average models. We study the asymptotic distributions of residual and normalized residual empirical autocovariances and autocorrelations under weak assumptions on noise. We establish the asymptotic behavior of the proposed statistics. A set of Monte Carlo experiments and an application to monthly mean total sunspot number are presented.     

Does Islamic banking performance vary across regions? A new puzzle

This article investigates the performance of Islamic banks (IBs) across four different regions (Egypt, the Gulf, the UK and the US) in the aftermath of the subprime crisis. Using daily data and two performance ratio proxies (ROA (Return on Asset) and Tobin Q), we show that the performance of IBs varies significantly from one region to another, with the highest level for regions in the West. This result suggests a new puzzle as application of the same Sharia Board rules and sales of similar products should normally provide comparable performance outcomes for IBs.     

Do Islamic and Conventional Banks Really Differ? A Panel Data Statistical Analysis

This study compares two types of banks: conventional banks and Islamic banks. Indeed, since the aftermath of the credit crunch and the global financial crisis (2008–2009), the former have been severely criticized, while the latter are increasingly considered as an alternative form of banking. From a panel sample of twenty major banks (ten conventional banks and ten Islamic banks) located in various developed and emerging countries over the period April 2006- February 2013, the present paper examines whether or not there are significant differences between the two banking systems. Our sample enables us to compare these international banking systems, taking the crisis impact and new regulations and supervisory rules into account. To this effect, we carried out econometric analyses of univariate and multivariate panel data, which pointed to two interesting findings. First, there are only a few significant differences between IBs and CBs in terms of financial risk. Second, PVAR (Panel Vector Autoregressive) estimates and the analysis of Impulse Response Functions (IRFs) indicate weak interactions between IBs and CBs, while panel causality tests reject the causality hypothesis from IBs to CBs.     

Uncertainty assessment in socially responsible and Islamic stock markets in the short and long terms: an ARDL approach

This study measures financial uncertainty for two classes of alternative financial assets (Dow Jones Islamic and Dow Jones Sustainability Indexes) and the conventional US stock market (Dow Jones Industrial Index) for the period of 1999–2017, using an asymmetric exponential GARCH model. Using an ARDL model, we propose an intertemporal dynamic analysis of uncertainty for Islamic and socially responsible stock markets. Our findings show that, first, conventional and ethical investments present high comparable levels of uncertainty for which the dynamics is time-varying. Second, uncertainty in the conventional US stock market has a significant and positive effect on the uncertainty in alternative stock markets. Thus, uncertainty characterizes conventional and ethical stock markets both in the short and long terms. In particular, while the short-term uncertainty of ethical markets might be associated with their characteristics, the long-term aspect of uncertainty for ethical funds is rather associated with the effect of the conventional stock market environment. Although these findings show mean-reversion and uncertainty spillovers from the alternative stock markets to the conventional US one, they suggest lack of safety and certainty for investments in ethic markets, which remain fragile and closely dependent on the conventional market.     

On the Reputation of Islamic Banks: a Panel Data Qualitative Econometrics Analysis

This study investigates the issue of reputation for Islamic banks. Bank reputation can either be modelled using a direct approach based on Game Theory (Chemmanur and Fulghieri in J Financ 49:57–79, 1994) or through an indirect approach that investigates linkages between conventional and Islamic banks. Adopting the indirect test approach, we propose a binary measure of Islamic Banks (IBs) reputation by testing their dynamic interactions with regard to conventional banks. Interestingly, we propose different qualitative econometric specifications to capture the drivers of IBs’ reputation. Using panel data for 10 major conventional banks and 10 Islamic banks over the period April 2006 – February 2013 (about 17,800 observations), we show that reputation probability can significantly increase in line with Islamic banking performance, while excess risk taken by Islamic bankers will decrease it. Further, we show that an environment with high global financial risk -induced for example by an increase in conventional product risk- has a negative effect on IBs’ reputation.     

Assessing Trade Potential in Agricultural Sector of Iran: Application of Gravity Model

This article attempts to assess Iran's trade potential, explore over- and under-trade countries and determine factors affecting export development by using the gravity model. Seventy countries, which are considered the major markets for Iran agricultural products, are divided into 50 developing and 20 developed ones. By using panel data during the period when the export premium was submitted (2002–2005), Iran's agricultural exports were predicted. For this purpose, equations for each group of countries regressed by applying the augmented gravity model. Finally, the results were compared with actual figures. The results showed that Iran was more over-traded with developing countries relative to developed ones. This analysis helps us to determine the proper commercial direction, assess trade potential capacity and explore effective factors on export development such as export premium. Therefore, trade flows can be improved with under-trade countries and will be supported with over-trade ones through proper policies.     

Revealed Comparative Advantage and Measurement of International Competitiveness for Dates

The purpose of this study was to understand the pattern of export of dates in Iran and the other main exporter countries. Revealed comparative advantage (RCA) was used to examine comparative advantage of the main exporters of dates. Export-share revealed the comparative advantage index and Spearman's correlation coefficients were analyzed to identify the dynamic changes in comparative advantage for dates. In the last 4 decades, comparative advantage for dates changed for many countries. A trend developed toward reduction in the comparative advantage of Iran, Iraq, and Saudi Arabia in favor of United Arab Emirates (UAE), Tunisia, and Pakistan from 1989 to 2005. Spearman's correlation coefficients showed that the RCA of Iran and UAE were negatively related to the RCA of Iraq and Saudi Arabia. A regression export model indicated that comparative advantage and export promotion policy had a major role in the export of Iranian dates.