Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk : a two-state Markov switching analysis
Year of publication: |
September 2015
|
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Authors: | Aloui, Chaker ; Hammoudeh, Shawkat ; Ben Hamida, Hela |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 34.2015, p. 121-135
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Subject: | Regime switching | Price discovery | Sharia stocks | Sukuk | Time varying transition probabilities | Börsenkurs | Share price | Markov-Kette | Markov chain | Aktienmarkt | Stock market | Kointegration | Cointegration | Anleihe | Bond | Volatilität | Volatility |
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