Haykel Hamdi and Jihed Majdoub
Risk governance has an important influence on the hedging performances in option pricing and portfolio hedging in both discrete and dynamic case for both conventional and Islamic…
Abstract
Purpose
Risk governance has an important influence on the hedging performances in option pricing and portfolio hedging in both discrete and dynamic case for both conventional and Islamic indexes. The paper aims to discuss these issues.
Design/methodology/approach
This paper explores option pricing and portfolio hedging in a discrete and dynamic case with transaction costs. Monte Carlo simulations are applied to both conventional and Islamic indexes in US and UK markets. Simulations show that conventional and Islamic assets do not exhibit the same price and portfolio hedging strategy governance.
Findings
The authors conclude that Islamic assets show different option price and hedging strategy compared to their conventional counterpart.
Originality/value
The research question of this paper aims at filling the gap in the empirical literature by exploring option price and hedging structure for both conventional and Islamic indexes in US and UK stock markets.
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Azza Bejaoui, Salim Ben Sassi and Jihed Majdoub
In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities.
Abstract
Purpose
In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities.
Design/methodology/approach
In this paper, the authors apply the MS-ARMA model on daily returns of Bitcoin (19/04/2013-13/02/2018), Ripple (05/08/2013-14/02/2018), Litcoin (29/04/2013-14/02/2018) and Ethereum (08/02/2015-14/02/2018). This model allows capture of the nonlinear structure in both the conditional mean and the conditional variance of cryptocurrency returns.
Findings
All the cryptocurrency markets show regime switching in the return-generating process. Market dynamics seem to be governed by two different states which differ from one cryptocurrency market to another in terms of mean return, volatility and interstate dynamics. These findings can be explained by investors’ behavior, i.e. speculative trading and herding behavior. By choosing to participate (or imitating some investors) in some cryptocurrency markets (in particular Bitcoin market), they affect the price movements and therefore the market dynamics in the short run.
Practical implications
Identifying the different market states provides information for investors to make more accurate portfolio decisions in the virtual market and follow the market timing strategy.
Originality/value
This paper attempts to analyze potential nonlinear structure in cryptocurrencies returns and analyze if there is a difference between the cryptocurrencies market cycles. So, the search for congruent and adequate specification to reproduce the stock returns dynamics in the virtual market still remains the concern of several empirical studies. This research not only examines the behavior of stock returns in the cryptocurrencies’ market but also highlights the existence of nonlinearity propriety as a stylized fact.
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Siong Min Foo, Nazrul Hisyam Ab Razak, Fakarudin Kamarudin, Noor Azlinna Binti Azizan and Nadisah Zakaria
This study comprehensively aims to review the key influential and intellectual aspects of spillovers between Islamic and conventional financial markets.
Abstract
Purpose
This study comprehensively aims to review the key influential and intellectual aspects of spillovers between Islamic and conventional financial markets.
Design/methodology/approach
The study uses the bibliometric and content analysis methods using the VOSviewer software to analyse 52 academic documents derived from the Web of Sciences (WoS) between 2015 and June 2022.
Findings
The results demonstrate the influential aspects of spillovers between Islamic and conventional financial markets, including the leading authors, journals, countries and institutions and the intellectual aspects of literature. These aspects are synthesised into four main streams: research between stock indexes; studies between stock indexes, oil and precious metal; works between Sukuk, bond and indexes; and empirical studies review. The authors also propose future research directions in spillovers between Islamic and conventional financial markets.
Research limitations/implications
Our study is subject to several limitations. Firstly, the authors only used the WoS database. Secondly, the study only includes papers and reviews written in English from the WoS. This study assists academic scholars, practitioners and regulatory bodies in further exploring the suggested issues in future studies and improving and predicting economic and financial stability.
Originality/value
To the best of the authors’ knowledge, no extant empirical studies have been conducted in this area of research interest.
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Roslina Mohamad Shafi and Yan-Ling Tan
This study aims to explore the evolution of the Islamic capital market (ICM) from the perspective of research publications.
Abstract
Purpose
This study aims to explore the evolution of the Islamic capital market (ICM) from the perspective of research publications.
Design/methodology/approach
A bibliometric analysis was applied based on selected publications from the Web of Science Core Collection (WoSCC) database from 2000 to 2021. The study adopted VOSviewer software which was developed by Leiden University.
Findings
This study has some implications that need urgent action. Firstly, there are some areas that have received little attention among researchers, although they are relevant to the industry, for instance, in fintech and blockchain in ICM. Secondly, the inconsistent frequency of publications in some niche areas may suggest that there are unprecedented events that hinder further research; probably, the researcher may anticipate more information and progress in the industry. Thirdly, the need to strengthen the collaboration between industry and academia to advance research.
Research limitations/implications
This study considered only the WoSCC database. The provider of WoSCC is Clarivate (formerly known as Thomson Reuters), where access to publications is limited to institutional subscribers. The implications of this study are to identify and propose future research trends in the field of ICM.
Originality/value
To the best of the authors’ knowledge, the present study is among the pioneer studies in analysing bibliometric focusing on ICM. Previous research has focused on Islamic finance and banking, and not specifically on ICM. Accordingly, this study sheds light on research gaps in ICM.