Decoupling hypothesis of Islamic stocks: Evidence from copula CoVaR approach
This paper studies the dependence structure between Islamic and conventional stocks in five countries (USA, UK, Japan, Malaysia and Pakistan) using the copula CoVaR approach for the period 2004–2016. Results from the copula models show that, for four countries, the Islamic stocks are upper tail depe...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2019-08-01
|
| Series: | Borsa Istanbul Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S221484501830173X |