Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/328643 
Year of Publication: 
2023
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 11 [Issue:] 1 [Article No.:] 16 [Year:] 2023 [Pages:] 1-18
Publisher: 
MDPI, Basel
Abstract: 
There is ample evidence that Islamic stock markets perform differently from conventional stock markets, particularly when economic policy uncertainty (EPU) or any other uncertainty such as geopolitical uncertainty is present. Considering this context, this paper examines the US EPU's cross-correlation with both conventional and Islamic stock markets from the perspective of multifractality. Daily stock market prices of five main countries are considered: US, Thailand, Indonesia, Pakistan, and India. Using the multifractal detrended cross-correlation analysis (MF-DCCA), we validate the existence of long-range cross-correlation between US EPU and all the stock markets considered, demonstrating that all pairs of US EPU have strong power law and multifractal characteristics. Furthermore, all pairs display varying levels of multifractal strength, with the US EPU and US conventional stock market exhibiting the strongest multifractal patterns. Additionally, a cross-correlation between US EPU and the different stock markets is found to be persistent. The results of this study are pertinent to the various market participants in both conventional and Islamic markets, particularly investors, who may be able to draw useful conclusions from them for purposes such as portfolio diversification.
Subjects: 
conventional stock markets
Islamic stock markets
multifractal detrended cross-correlation analysis
multifractality
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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