Syed Aun R. Rizvi (LUMS), Shaista Arshad (University of Nottingham)In lieu of the scant research on systematic risk on Islamic stock markets, this paper analyses the nature of time-varying systematic risk for both Islamic and non-Islamic sectoral indices. This study is novel in its analysis of behavioural changes in beta according to global economic state and whether Islamic sectors are less risky over a continuous basis beta. Taking daily returns of 10 global sectors spanning from 1996 to 2015, we firstly apply wavelet decomposition to divide the sectoral indices of both markets, into short-term and long-term horizons. Next, the beta value is estimated by running the regression of each sector's daily return on the respective global index over a rolling window of 36 months. The analysis revealed both Islamic and conventional indices to follow a similar pattern over time. The Islamic sectoral beta tends to be smaller than conventional, which implies a damper reaction to stock market changes. A lower systematic risk of Islamic equities can prove to be a diversification opportunity for optimization of portfolios. Four robustness tests are applied to reaffirm the empirical analysis, throughout which our results hold.
Wajahat Azmi (INCEIF), Mohsin Ali (INCEIF), Syed Aun R. Rizvi (LUMS), Shaista Arshad (University of Nottingham)This paper adds to the debate on the impact of competition and on bank stability and profitability. The novelty lies in analysing the impact of studying the nexus of stability and competition, and performance and competition in dual banking We aim to examine whether (1) Islamic banks contribute towards overall banking stability, (2) conventional banks benefit from Islamic banks in a dual banking system and (3) whether the relationship between competition and stability is heterogeneous across banks in a dual banking system. Our results show that in general, Islamic banks increases the stability of commercial banking sector and are inherently more stable themselves but with similar profitability. Furthermore, there is a homogenous effect of competition on stability and profitability across bank types. To add robustness to our results, multiple proxies are used for competition, stability and profitability. A further analysis is conducted on split sample based on size as measured by total assets.
Shaista Arshad (University of Nottingham), Syed Aun R. Rizvi (LUMS), Aviral K. Tiwari (Montplier University)This paper attempts to analyse the weak form efficiency of Brent oil prices to evaluate the efficiency of oil markets. With limited research on this novel area, we conduct a time-varying and multi-scale analysis on crude oil market benchmarks using Multifractal-Detrended Fluctuation Analysis (MFDFA) over the period of twenty years. The objective is to investigate whether the crude oil markets are efficient in the weak form during different economic regimes over multi-scales. The results from different sub-samples provides evidence that in the shorter horizon component, there is a tendency towards improving efficiency across every expansion post-recession and this trend in the longer term component is violated in the recent global recovery of post 2010. We find that the benchmark Brent crude oil prices is weak-form efficient implying low predictability levels of prices. As a robustness check, we reassess the data in five different ways. (1) as stated above, the data is divided into periods of expansions and recessions, (2) a multi-scale analysis is integrated to include short and long-term analysis, (3) the data is reanalysed under a different order q, where results hold, (4) the analysis is repeated for weekly data, and results conform, and lastly (5) seven other oil prices benchmarks are used, and the general results conform to those for Brent crude oil.
Shaista Arshad (University of Nottingham), Syed Aun R. Rizvi (LUMS), Nafis Alam (University of Reading)Emerging markets have been gaining developing fast in the modern era of globalization, deregulation and liberalization of markets. This has led to increasing financial integration and diversification of international portfolios have resulted in massive inflow of capital into emerging stock markets. This raises the questions for a further understanding of the dynamics of these markets. This study delves deep into the tripartite parameters of volatility, efficiency and integration of emerging markets over a period of fifteen years. This study provides a better understanding for the emerging markets on two major fronts, firstly the analysis is decomposed for shorter and longer term components of the return analysis. Secondly this study analyses the tripartite parameters across inter regional as well as intra-regional. The findings of these study have been explored over different global economic regimes for robustness provides nexus evidence for volatility-efficiency and volatility-integration paradigms for emerging markets. On a multiple time scale inquiry the result aim to provide some clarity and guidance to policy makers for further developing the stock markets, as well as for industry in diversification purposes of international portfolios.