Time varying connectedness and volatility spillover among Shariah compliant indices
| dc.contributor.advisor | Sayed, Ayesha | |
| dc.contributor.author | Patel, Zeenat | |
| dc.date.accessioned | 2025-09-19T12:19:14Z | |
| dc.date.available | 2025-09-19T12:19:14Z | |
| dc.date.issued | 2025 | |
| dc.date.updated | 2025-09-19T08:23:59Z | |
| dc.description.abstract | Shariah-compliant investing is a subset of the conventional financial market; it follows certain faith-based principles and is also seen as a subset of ESG investing. This study seeks to identify the net transmitters and receivers of volatility within the Shariah compliant equity markets of the US, Europe, Canada, Japan, the UK, Asia Pacific, and South Africa. Using several shariah-compliant Dow Jones Islamic Market (DJIM) indices as well as the shariah-compliant JSE Top 40 index, data is collected from Bloomberg for the period of 22 September 2003 to 31 March 2023. The study employs the dynamic connectedness approach to investigate time-varying interdependence and volatility spillover among the indices during periods of economic crises. The results show that during economic crises, the volatility spillover between the shariah-compliant indices decreases significantly. Therefore, we conclude that shariah compliant indices decouple from each other during economic crises. Additional results show that the DJIM US index is the dominant net transmitter of volatility, while the DJIM Japan index is the main receiver of volatility spillover within the network. This study contributes to the academic literature by including an index from the South African market, incorporating a new methodology, and finally extending the period to incorporate the Russia-Ukraine conflict. The results have implications for individual and institutional investors active in the ESG environment and for the development of shariah-compliant investing. | |
| dc.identifier.apacitation | Patel, Z. (2025). <i>Time varying connectedness and volatility spillover among Shariah compliant indices</i>. (). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/41882 | en_ZA |
| dc.identifier.chicagocitation | Patel, Zeenat. <i>"Time varying connectedness and volatility spillover among Shariah compliant indices."</i> ., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2025. http://hdl.handle.net/11427/41882 | en_ZA |
| dc.identifier.citation | Patel, Z. 2025. Time varying connectedness and volatility spillover among Shariah compliant indices. . University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. http://hdl.handle.net/11427/41882 | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Patel, Zeenat AB - Shariah-compliant investing is a subset of the conventional financial market; it follows certain faith-based principles and is also seen as a subset of ESG investing. This study seeks to identify the net transmitters and receivers of volatility within the Shariah compliant equity markets of the US, Europe, Canada, Japan, the UK, Asia Pacific, and South Africa. Using several shariah-compliant Dow Jones Islamic Market (DJIM) indices as well as the shariah-compliant JSE Top 40 index, data is collected from Bloomberg for the period of 22 September 2003 to 31 March 2023. The study employs the dynamic connectedness approach to investigate time-varying interdependence and volatility spillover among the indices during periods of economic crises. The results show that during economic crises, the volatility spillover between the shariah-compliant indices decreases significantly. Therefore, we conclude that shariah compliant indices decouple from each other during economic crises. Additional results show that the DJIM US index is the dominant net transmitter of volatility, while the DJIM Japan index is the main receiver of volatility spillover within the network. This study contributes to the academic literature by including an index from the South African market, incorporating a new methodology, and finally extending the period to incorporate the Russia-Ukraine conflict. The results have implications for individual and institutional investors active in the ESG environment and for the development of shariah-compliant investing. DA - 2025 DB - OpenUCT DP - University of Cape Town KW - DJIM KW - JSE LK - https://open.uct.ac.za PB - University of Cape Town PY - 2025 T1 - Time varying connectedness and volatility spillover among Shariah compliant indices TI - Time varying connectedness and volatility spillover among Shariah compliant indices UR - http://hdl.handle.net/11427/41882 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/41882 | |
| dc.identifier.vancouvercitation | Patel Z. Time varying connectedness and volatility spillover among Shariah compliant indices. []. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2025 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/41882 | en_ZA |
| dc.language.iso | en | |
| dc.language.rfc3066 | eng | |
| dc.publisher.department | Department of Finance and Tax | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.publisher.institution | University of Cape Town | |
| dc.subject | DJIM | |
| dc.subject | JSE | |
| dc.title | Time varying connectedness and volatility spillover among Shariah compliant indices | |
| dc.type | Thesis / Dissertation | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationlevel | MCom |