Does Shariah index hedge against sentiment risk? Evidence from Indian stock market using time–frequency domain approach

Accepted Manuscript Does Shariah index hedge against sentiment risk? Evidence from Indian stock market using time-frequency domain approach Saumya Ran...

Download PDF

5MB Sizes 0 Downloads 32 Views

Report

Full Text

Accepted Manuscript Does Shariah index hedge against sentiment risk? Evidence from Indian stock market using time-frequency domain approach Saumya Ranjan Dash, Debasish Maitra

PII: DOI: Reference:

S2214-6350(18)30001-7 https://doi.org/10.1016/j.jbef.2018.03.003 JBEF 145

To appear in:

Journal of Behavioral and Experimental Finance

Received date : 4 January 2018 Revised date : 5 March 2018 Accepted date : 15 March 2018 Please cite this article as: Dash S.R., Maitra D., Does Shariah index hedge against sentiment risk? Evidence from Indian stock market using time-frequency domain approach. Journal of Behavioral and Experimental Finance (2018), https://doi.org/10.1016/j.jbef.2018.03.003 This is a PDF file of an unedited manuscript that has been accepted for publication. As a service to our customers we are providing this early version of the manuscript. The manuscript will undergo copyediting, typesetting, and review of the resulting proof before it is published in its final form. Please note that during the production process errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.

Does Shariah Index Hedge Against Sentiment Risk? Evidence from Indian stock Market using Time-Frequency Domain Approach

Saumya Ranjan Dash, Department of Accounting and Finance, Indian Institute of Management Indore (IIM Indore), Indore, Madhya Pradesh-453556, India, email: [email protected] Debasish Maitra1, Department of Accounting and Finance, Indian Institute of Management Indore (IIM Indore), Indore, Madhya Pradesh-453556, India, email: [email protected]

Corresponding author: Debasish Maitra, Email: [email protected]

.$2 ' 1( ' -#$7 $#&$ & (-23 $-3(,$-3 (2* 5(#$-"$ %1., -#( - 23."* 1*$342(-&(,$1$04$-"8., (-//1. "'

1. Introduction - 1$"$-3 8$ 12 3'$1$ (2 - (-"1$ 2(-& #$, -# %.1 ' 1( ' ".,/+( -"$ %(- -"( + /1.#4"32 (- 3'$ , (-231$ , %(- -"( + , 1*$3 2+ ,(" %(- -"$ /1(-"(/+$2 #5." 3$ 3'$ /1 "3("$ .% %(- -"$ -# (-5$23,$-3#$"(2(.-, *(-&(-".,/+( -"$6(3'2+ ,("' 1( '/1(-"(/+$23' 2!$$- 1&4$#3' 3 ' 1( '".,/+( -3%(- -"( +/1.#4"32, 8.%%$1&..#'$#&(-&.//.134-(3($2 & (-23 #5$12$, 1*$3 31$-#2!$" 42$3'$' 1( '+ 6(2! 2$#.-/1(-"(/+$2".-#4"(5$3.$-' -"$/4!+("&..#(-"1$ 2$ 2."( + 6$+% 1$ ,(-(,(9$ /.3$-3( + (-)423("$ +(,(3 $-5(1.-,$-3 + -# 2."( + "1(2$2 -# ## 1$ + 5 +4$3.3'$$".-.,8 22 - -#(1 1# .$3 + 422$(- $1# #$3 + ' ,24##(- 11.4* -$ 1$ .% 2+ ,(" %(- -"$ 3' 3 ' 2 331 "3$# &1.6(-& 33$-3(.-.% " #$,(" -#/1 "3(3(.-$12(23'$#$5$+./,$-3.%' 1( '".,/+( -"$$04(38 (-#("$2#$2(&-$#3.31 "*3'$/$1%.1, -"$.%/4!+("+831 #$#' 1( '".,/+( -3".,/ -($22$$%.1 $& $1(&2 -# 19! - 1 8 - $3 + ++ ' $3 + %.1 #$3 (+ #(2"422(.- .6$5$1 2+ ,(" %(- -"$ -# ' 1( ' /1(-"(/+$! 2$# $04(38 (-5$23,$-3 (2 1$+ 3(5$+8 -$6 -# &1 #4 ++8 $5.+5(-& (- 3$1,2 .% /1.#4"3 (--.5 3(.- 1$&4+ 3.18 /14#$-3( + (-5$23.1 ! 2$ , 1*$3 !1$ #3' -# #$/3' .,/ 1$# 3. (32 ".-5$-3(.- + ".4-3$1/ 13 +(3$1 341$ (- 3'$ %($+# .% 2+ ,(" " /(3 + , 1*$3 (2 23(++ (- (32 (-% -"8 $1# # $3 + -# 3'$1$%.1$ 4-#$123 -#(-& 3'$ 1(2* 1$341-!$' 5(.1(-3'(2, 1*$32$&,$-3(21$+ 3(5$+8+.6 2('$3 + '$1$(2 / 4"(38.% 1$2$ 1"' 3. $7 ,(-$ 3'$ (,/+(" 3(.- .% (-5$23.1 2$-3(,$-3 %.1 ' 1( ' (-#("$2 1$341- !$' 5(.41 '$1$%.1$ #$$/$1 4-#$123 -#(-& .% 1(2* -# 1$341- !$' 5(.1 .% 24"' $04(38 (-#("$2 " - '$+/ 2423 (-3'$(-"1$ 2(-&(-3$1$23.%(-5$23.12(-3'$(-#42318 - +(&'3 .% 3'$ %.1$&.-$ #(2"422(.- .- 3'$ 1$+$5 -"$ .% ' 1( ' ! 2$# (-5$23,$-3 , - &$,$-3 #$"(2(.- 42(-& -#( - 23."* , 1*$3 # 3 .41 / /$1 2$$*2 3. - +82$ 6'$3'$1 ' 1( ' (-#$7 /1.5(#$2 '$#&$ & (-234-"$13 (-, 1*$3$-5(1.-,$-3" 42$#!8(-5$23.12$-3(,$-3.!$,.1$ 2/$"(%(" 6$ $7 ,(-$ 6'$3'$1 3'$1$ (2 /.3$-3( + 2.41"$ .% 2$-3(,$-3 1(2* %.1 ' 1( ' (-#("$2 1$341-.13'$1(2*! 2$#$7/+ - 3(.-(-3$1,2.%, "1.$".-.,(" -#2823$, 3("1(2*% "3.12, 33$1 %.1' 1( '(-#("$2-3'(21$& 1#.41/1$2$-3/ /$1 33$,/323.4-#$123 -#/1("$#2.41"$.%1(2* %.1 3'$ ' 1( '".,/+( -3 $04(38 (-#("$2 (- 3'$ ".-3$73 .% $,$1&(-& -#( - 23."* , 1*$3 '$ #.,(- -"$ .% 1(2*! 2$# $7/+ - 3(.- 6(++ '$+/ 42 3. 24//.13 3'$ 1&4,$-3 3' 3 6(3' +3$1- 3(5$ /.13%.+(.$7/.241$ ' 1( '".,/+( -"$(-#("$2" - 1&4 !+82$15$3'$1$ +5 +4$3.3'$$".-.,8 -#'$#&$ & (-23, 1*$32$-3(,$-3

#/#(.+&)#+#%'%2,#,#'-(-"+)+-,#+,-0!#'(.+'%2,#,2(&)(,#'!-" "+#"+-.+',,'-#&'-)+(1#,'&+(('(&##'#-(+,#'-(# +'- +*.'#,.,#'! /%-,-#& +*.'2(&#'(+('#/+,-+( ))+("&)%(2 -"'('%#'+.,%#-2/%()2!.#''#,,(%%

-0'"+##'1+-.+', ,'-#&'-)+(1#,'&+(#'#-(+,-# +'- +*.'2#'-+/%,('-(-,--"+#,$ ,1)%'-#(' (+"+#"#'1+-.+'0)+ (+&&'-" #+,-,-)-#& ,+#,+!+,,#('.,#'!,2,-&-#+#,$ -(+,+"+-

&'+'"

#'',,- )+##'! &(% +&0(+$ .+-"+&(+ 0 1-' -" ,,- )+##'! &(% '%2,#, 2 #'(+)(+-#'! #'/,-(+ ,'-#&'- , ' 1)%'-(+2 /+#% -" &)#+#% 1&#'-#(' .,#'! ,,- )+##'! &(% +&0(+$ "%), -( 1)%#' -" ,2,-&-# +#,$ -(+ , "+#" #'1 +-.+' /+#-#(' -"' #' -" ,'-#&'- .!&'- ,,- )+##'! &(%, 0 1)- #',#!'# #'- ,'-#&'- +#,$ )+##'! #'%%2 0 ++2 (.- +(.,-',, -,- .,#'! -#& +*.'2 (&#' ))+("( -"('-#'.(.,0/%-'(.++(.,-',,-,-01&#'0"-"+(.++,.%-,,. + +(& -" +'- ,.)+#& +#,#, # &)%(2 ('-#'.(., 0/%- -( %(($ - -" +%-#(',"#)( "+#"+-.+',,'-#&'-,'"+#"+-.+',&+( -(+,+(,,# +'--#& )+#(,' +*.'#, "+,.%-,#'#--"-+#,$,1)%'-#('#,&(++%/'- (+"+#"#'1+-.+'"/#(+ #'-"&+!#'!'#',-($&+$-"#,,-.2+)(+-,,#!'# #'-+%-#(',"#)-0'&+( /+#%, ' "+#" #'1 +-.+', (+ "+#" #'#, #'/,-(+ ,'-#&'-, + &(+ %#$%2 -( - ,"(+--+& +-.+', # "#!" +*.'- -#&,%, (0/+ 0 ( '(- #' ,#!'# #'- ,'-#&'-)+##'! -+('-+(%%#'!-" -( ,2,-&-#+#,$ -(+,#'',,-)+##'!&(% "+(.,-',,-,-,-"+(.!"('-#'.(.,-#& +*.'2(&#'.'+)#'-""+#"+-.+',+ '!-#/%2 (&(/ 0#-" ,'-#&'-, ' &+( -(+, .+#'! -" -#& ( #''#% +#,#, "., "+#"(&)%#',-($,&#!"-"!!#',-0/,( #'/,-(+,'-#&'-.+#'!.')+'- &+$-&(/&'-, .+,-.2('-+#.-,-(-"!+(0#'!(2( %#-+-.+('-"+,)-,#+,-(.+ #'#'!,"%)-( ," &(+ #',#!"- (' -" +#,$+-.+' "/#(+ ( "+#"(&)%#' #'#, #' -" ('-1- ( &+!#'!&+$-((.+$'(0%!-"#,#,)+"),-" #+,-(&)+"',#/,-.2( '&+!#'! &+$- 0#-" #,-#'-#/ &+(('(&# ' &+$- ,-+.-.+ (' -( (.+ $'(0%! -"#, #, )+"), -" #+,- ,-.2 -( 1&#' -" #&)- ( ,'-#&'-, +#,$ -(+, ' &+(('(&# /+#%, (' "+#" +-.+', 0#-" -#& +*.'2 '%2,#, .+ &)#+#% ))+(" # +, +(& -" 1#,-#'! %#-+-.+ 2 /%()#'! )+ .'+,-'#'! ( -" +,+" *.,-#(' ., 0/%- (&)(,#-#(' ' '('%#'+ .,%#-2 -( 1&#' -" #&)- ( ,'-#&'- ' &+(('(&# /+#% (' "+#" #'#, +-.+' /+#-#(' " 0/%- , -#& +*.'2

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elated Literature and Motivation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

52',%2 /2%/6%2

34/#+3 4(!4 !2% -/2% 35"*%#4)6% &/2 6!,5!4)/. !.$ (!2$%2 4/ !2")42!'% !2% $)302/0/24)/.!4%,9 3%.3)4)6% 4/7!2$3 3%.4)-%.4 "!3%$ -)302)#).' ). 4(% -!2+%4 !+%2 !.$

52',%2

0%#)&)#!,,9 34/#+3 7)4( ,/7 -!2+%4 #!0)4!,)3!4)/. ()'(%2 2%4!), ).6%34/2 #/.#%.42!4)/. ()'( 6/,!4),)49()'($)342%332)3+3).34/#+#(!2!#4%2)34)#3.%',%#4%$"9!.!,9343!2%353#%04)",%4/"2/!$ 7!6% /& -!2+%4 3%.4)-%.4 !+%2 !.$

52',%2 /.' !.$ !#0%2#:9+ 5-!2 !.$

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

&2167,78(17),506$5((;3(&7('72+$9(/2:/(9(5$*($1'/(665,6.(;32685(7+$17+(,5&219(17,21$/ &2817(53$576,9(17+(&+$5$&7(5,67,&62)!+$5,$+&2167,78(17),5067+(6(),506$5(/(66686&(37,%/( 72 ),1$1&,$/ ',675(66 5,6. 025( $/,*1(' :,7+ 62&,$//< 5(63216,%/( ,19(670(17 12506 &217,18286/< 021,725('+$9(/2:(5327(17,$/)25($51,1*60$1$*(0(17*22'*29(51$1&(6758&785($1'*52:7+ 672&.6$5224$1'%'(/$5, $<$7$1'$66$1 2(7$/

05$1 #( (;3(&7 *52:7+ 672&.6 72 &2167,787( !+$5,$+ ,1',&(6 $6 &203/,$17 672&.6 3(5)250 5(/$7,9(/< %(77(5 '85,1*3(5,2'62)),1$1&,$/81&(57$,17,(6$1'&5,6(66+5$)$1'2+$00$'

2(7$/

(:$1'$58 (7 $/

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

5(325786/,03238/$7,21&2167,787(6

3(5&(172)7+(727$/ 3238/$7,21 $1',7,6&216,'(5('72%(7+(+,*+(67,1$1216/$0,&&28175<$1'7+,5'+,*+(67,17+( :25/'"+(3+(120(1$/*52:7+,11',$186/,03238/$7,21%< ,6(;3(&7('72287*52:$//

"+( 7+1',$1(1686:$6&21'8&7('%<7+( (*,675$5(1(5$/$1'(1686200,66,21(52)1',$,17+(<($5

(7$,/,1)250$7,21211',$1 (/,*,21(1686

,6$9$,/$%/($7:::&(1686

&2,15(/,*,213+3:(%6,7(

0$! /()%+1*0.%!/+. +1*0.%!/3%0$ (.#! /()% ,+,1(0%+*/ /1$ /* +*!/%* '%/0* '!00!0( +3!2!.3%0$0$!(.#!1/(%),+,1(0%+*%** %0$!/()%"%**%( ).'!0 %/ *+0 0,,! 5!0 * ,.+ 10 !2!(+,)!*0 %* 0$%/ ).'!0 %/ *+0 )01.! !*+1#$ .%!30!.$+1/!++,!./ +*/%/0!*03%0$/1$+/!.20%+*%0%/.!/+*(!0+!4,!00$0 * % !%*# +*! +" 0$! (.#!/0 /()% ).'!0/ 0$! !)* "+. 0$! $.%$ +),(%*! /0+' %* %!//1*%-1!//!0(//%/$2%*#0$!,+0!*0%(0+#.+3/)%*/0.!)"%**%(//!0$! !!,!.1* !./0* %*#+"0$!$.%$+),(%*!%* %!/!$2%+.%*0$%/!)!.#%*#"%**%().'!0 3%((00.0!00!.%*2!/0)!*0+,,+.01*%05%*0!.)/+",+.0"+(%+ %2!./%"%0%+* !2!(+,)!*0+"0$! (!#(* .!#1(0+.5".)!3+.'* 0$!%*0.+ 10%+*+"*!3$.%$+),(%*0"%**%(,.+ 10/ (%'! )101( "1* / /!0+. "1* / * %* !4 "1* / 1. !),%.%( "%* %*#/ /$! )+.! (%#$0 +* 0$! .%/'.!01.*!$2%+.+"0$!* %*$.%$%* %!/* $!*! 01/! %*+1..!/!.$3%((*+0! +..!(0! 3%0$ +0$!. )&+. !/0(%/$! /()% "%**! ).'!0/ "+. !# (5/% 1.'!5 !0 * 0$1/*,.+2% !".!/$%*/%#$00+0$%/!)!.#%*#"%**%( +)%* +1.0$1*(%'!,.%+./01 %!/3!1/!32!(!0 !+),+/%0%+** *+*(%*!.1/(%050+!4)%*!0$! %),0 +" /!*0%)!*0 * ).+!+*+)% 2.%(! +* $.%$ %* %!/ .!01.* 2.%0%+* + +1. '*+3(! #! 0$%/ %/ ,!.$,/ 0$! "%./0 /01 5 0+ 1/! 0$! 32!(!0 /! 0%)!".!-1!*5 *(5/%/ "+. !4)%*%*# $.%$ /0+' .!01.*/ !$2%+1. $!.! %/ * !+*+)% * /00%/0%( %)!*/%+* 0+ 0%)!/(! !+),+/%0%+* +" %* !4 .!01.*/ /!*0%)!*0/ * ).+!+*+)% 2.%(!/ 3$%(! ..5%*#+1032!(!0 !+),+/%0%+** *+*(%*!.1/(%05$!"%**%().'!0/.!/1&!00+ %2!./! !4,!00%+*/ +" %""!.!*0 ).'!0 ,(5!./ $ /!0 +" 0. !./ ,!.!%2!/ 0$! ).'!0 %""!.!*0(5 /! +* 0$!%. %*2!/0)!*0 +&!0%2!/ .%/' ,,!0%0! * 2%((! %*"+.)0%+* +*/!-1!*0(5%*2!/0)!*0$+.%6+*+.0. %*#".!-1!*5$*#!/".+)+*!#.+1,+"0. !./0+0$! +0$!.)'%*#0$!).'!02!.5$!0!.+#!*!+1/$!$!0!.+#!*!%05.!0! 50. !./0$1/,.+ 1!/ %//%)%(..!0%+*/0+0$!/)!/$+',,!./%*0$!).'!0%*(%*!3%0$0$!%.%*2!/0)!*0$+.%6+* +.0. %*#".!-1!*%!/%3.%!0( +.+#*!0( *)*5/01 %!/0$!.!01.*/ .!0!#+.%6! %*0+ %""!.!*0.!#%)!//1$/(+3* $%#$2+(0%(%05$(+1(!0( +.0 %""!.!*0-1*0%(!/%"!.!0( $!.!"+.!0$!/0+'.!01.*/$+1( *+0!0'!*//%*#(! #.+// /!.%!/ .0$!. %0 /$+1( ! +*/% !.! 0 %""!.!*0 0%)!/(!/ 0+ !2(10! 1*%-1! %*"+.)0%+* +*0!*0 0 %""!.!*0 0%)! %*0!.2(/ *

%0%+* 32!(!0/ 32!(!0/ .! !-10! 0+ ,01.! /0.101.(

.!'/ * 0.*/%!*0 .!(0%+*/ #1%.+*..% * +.!/ *

%0%+* 32!(!0/ * (/+

%/0%*#1%/$!03!!* %""!.!*0.!(0%+*/3$%$.!0%)!%*2.%*010".!-1!*52.%*0,!0.(*(5/%/$/ )!0$+ +(+#%( (%)%00%+*/ 0+ !0!0 0.*/%!*0 %..!#1(. 5(! * /0.101.( .!'/ %* 0$! ,!.%+ %%05 +" 0$+/!5(!/+3!2!.0$!32!(!0)!0$+ +(+#5!),(+5! %*0$%//01 5+2!.+)!/0$%/(%)%00%+** +!/ *+0(+/!*5%*"+.)0%+* 1!0+/0.101.(.!'/%*0$! 0#1%.+*..%!0( .%+./01 %!/

(%'!%"!.!0( "%(0+#%2!+),.!$!*/%2!1* !./0* %*#+"0$!/!*0%)!*0* $.%$

'+"#5/#12/+ #&3',2/"2#1,1&#--)'!1',+0'+%)#0#+1'*#+1-/,56&#/#'0+,2+!,+1/,3#/0') +" 2+'3#/0) -/,56 $,/ *#02/'+% '+3#01,/ 0#+1'*#+1 +" 20# ,$ 0'+%)# -/,56 *6 )'*'1 1&# /#02)1 '*-)'!1',+ "2# 1, 1&# '+$,/*1',+ !,+1#+1 (#/ +" 2/%)#/ 2/ 012"6 4'1& )1#/+1'3#,/1&,%,+)0#+1'*#+1-/,5'#0#5-#!101,3,'"1�'+%)#-/,560#)#!1',+ '0+"*6 -/,3'"#!,*-/#&#+0'3#+)60'0,$1&'0'*-,/1+1'002#

3. Methodology and Model Specification &'00#!1',+'0 "'3'"#"'+1, 1&/## -/10&# $'/010#!1',+"#0!/' #01&#+,+)'+#/ !20)'16 1#01 1 "'$$#/#+1 $/#.2#+!'#0 20'+% 43#)#1 --/,!& '+#/ !20)'16 1#01 #14##+ 14, 0#/'#0 20'+% /+%#/ !20)'16002*#01&13/' )#51'00'"1,/+%#/!20#y1'$y1!+ #-/#"'!1#" 4'1&1&#-013)2#0,$x11#/,+*+6*,"#)04#/#"#3#),-#"4&#/#)'+#/002*-1',+0/# $/##" +" +,+)'+#/ !20)'16 40 11#*-1#" $,/ !-12/# +# 02!& 1#01 40 %'3#+ 6 #%2'+ #'00,))#+"#/03'/1&'01#01&0%,,"-,4#/+"--#/01, #4#))0'7#"'4/'#1 ) 4, '*-,/1+1 1#010 $,/ +,+)'+#/ !20)'16 '# 6),/ 0#/'#0 #5-+0',+ ,$ 1&# +,+)'+#/ *,"#) +" /1'$'!') #2/) #14,/( /# "'0!200#" '+ "#1') '+ 1&# 0#!,+" 0#!1',+ &# 0#!,+" 0#!1',+ $,!20#0 ,+ #*-'/'!) --/,!& 1, #5*'+# 1&# '*-,/1+!# ,$ 0601#*1'! /'0( $!1,/0 $,/ #5-)'+'+% 1&# &/'& 01,!( /#12/+ 20'+% )1#/+1'3# 00#1-/'!'+% *,"#)0&'00#!1',+)0,"'0!200#01&##$$#!1,$0#+1'*#+1,+&/'&'+"#5/#12/+'+0#+1'*#+1 2%*#+1#" 00#1-/'!'+% *,"#) $/*#4,/( &# 1&'/" +" 1&# )01 0#!1',+ #5-)'+0 1&# !, *,3#*#+1 ,$ &/'& '+"#5 /#12/+0 4'1& 0#+1'*#+10 +" *!/,#!,+,*'! $!1,/0 &'0 *#1&," 4,2)"&#)-1,'"#+1'$61&##$$#!1,$!/'0'0-#/',",+1&#/#)1',+0&'--'/&/'&/#12/+00#+1'*#+10 +"&/'&/#12/+0+"*!/,$!1,/0 3.1 Wavelet Decomposition and Nonlinear Causality ##*-),62 #!&'#0$')1#/4'1&)#+%1&1,"#!,*-,0##3#/61'*#0#/'#0/#12/++"0#+1'*#+1 -/,5'#0 0 /#02)10 /# *,/# /, 201 1 1&1 )#+%1& 0'+% 43#)#1 !,//#)1',+ +" /#%/#00',+ 4# #5*'+#1&#/#)1',+ #14##+/#12/+0+"0#+1'*#+11"'$$#/#+1$/#.2#+!'#0'# 84##(0 84##(0 8 4##(0 8 4##(0+" 8 4##(0&# 0'!43#)#10 '+ +6 $*')6 ,$ 43#)#10 !,+0'01 ,$ $1&#/ 43#)#10 +" *,1&#/ 43#)#10 1&#/ 43#)#10 '+1#%/1# 1, ,+# t dt +" ,1&#/ 43#)#10 1, 7#/, t dt &# *,1&#/ +" $1&#/ 43#)#10/#-/#0#+1"#1')#"!,*-,+#+10"#3'1',+0$/,*1/#+"+"1/#+"!,*-,+#+10$)1,$ 1'*# 0#/'#0 /#0-#!1'3#)6 1'*# 0#/'#0 f t !+ # "#!,*-,0#" '+1, "'$$#/#+1 $/#.2#+!6 !,*-,+#+100 f t s J k J k t d J k J k t d j k J k t dk k t k

k

k

k

' J # )()#*"'$"*!) '($!*) $#'&*# (# k )'#, '*#('$" )$)#*"'$$ #)()!+!,+!))'#($'"$ #)(' +#( s J k d J k

k # ) ' %%'$- ") # *#) $#( ( J k t #

j k

t ,+!) )'#($'"( '

%'(#)(

s J k J k t f t dt

d j k j k t f t dt $'

j J

' J ( ) "- "*" #)' (* )) ) +!* J ( !(( $' &*! )$ ) #*"' $ $('+) $#( !($ ) $ #)( d J k d k '%'(#) # #'( # #' (! + ) $# '$") s J k ("$$))'#) "(' ( f t )'$"%$( ) $##'%'(#)($!!$,(

f t S J k t D J k t D J k t D t

) ! $"%$##)( $ ) " (' ( ' '%'(#) ( D J k D J k D J k 1 D k # S J k # )(("$$)( #!(("$$)#) !( #!( #) ' #'( #$''$ #'(! $"%$##)(#,' ))#( S J k s J k J k t D J k k

d k

J k t # D k d k k t j J

J k

k

(') ,+!) )'#($'" $"%$(( *#) $# $+' ) " ) " (' ( #)$ '#)'&*# ($'(!(((!( # ))$"%$##)$) "(' (, ) '#) '&*# ( !$,'(! $"%$##)( # ) ) '&*#. !*)*) $#( ,'( ) ()(!( # )!$,'$#(+')!(( +#)! " )) $#($#(*%' $' ).$ "- "!$+'!%,*(# (*(( ) 3.1.1 MODWT $')$$#! ( '!. *( # ## ! # $#$" %%! ) $#( * )$ )( ),$ " # j

! " )) $#(). !#)'&* '"#)$', ("%!( /($*! + ( !. #) (#( ) + ). )$ '*!' ( )( $ ) ,+!) (! # $ #)( , $ #$) $" ( ) #+' #) #$#$')$$#! +' #) $ +$ ( $) )( ! " )) $#( #*"' $ $('+) $#( # #$) $ . !#) !($ $( #$) ") ) $ #)( # ) +'. )'#($'") $# !+! ) #*"' $ (! # # ,+!) $ #)( '" # ) (" ( ) #*"' $ ("%! $('+) $#( +!) $ #)( w0 j t # (! # $ #)( 0 V j t

)!+!(

j j J ' +#(

L L 0 0 W j t g0l v0j t "$ N and v0j t hi v0j t "$ N l

l

:

&# +#51 01#- '+3,)3#0 1&# /#0!)'+% ,$ 43#)#1 +" 0!)'+% $')1#/0 g:l hl 0 g:

j

g

j

j

: hj hj

j

3.1.2 Nonlinear Causality Based on a Taylor Series Expansion ,)),4'+%#%2'++"#'00,))#1&#-/,-,0#"6),/0#/'#0--/,5'*1',+,$1&#+,+)'+#/ $2+!1',+!+ #0-#!'$'#"0 q

n

j

j

q

y t j y t j j xt j n

n

j j j

n

n

j j j

q

q

j j yt j yt j

q

n

j j

j j

y t j xt j xt j

q

j j xt j xt j j j y t j y t j

n

j j j

q

j k j k

j j

j j

j k

k

k

xt j x t j x t j k t

&# ,3##.21',+'020#"1,!&#!(!20)/#)1',+0&'- 0#",+8519",#0+,1!20#86194&#/# 1 #1( 561(1&#/#*'+"#/+"nk+"qk$,/+,11',+) /#3'16&'01#016'#)"0 !,))'+#/'16*,+%/#%/#00,/0'$k, q +"n /#)/%#&#"#%/##,$$/##",*k/-'")6 #!,*#0 ),4)#00-/, )#*1'!'$1&#%#+#/)*,"#)'00#*'""'1'3#'$1&#+2* #/,$/#%/#00,/0'+!/#0#0 ,1& 1�# '002#0 !+ # ,3#/!,*# '$ 0,*# , 0#/31',+ *1/'!#0 /# /#-)!#" 6 1&#'/ )/%#01 -/'+!'-)!,*-,+#+10&'04//+10"'3'"'+%1&#/#%/#00,/0'+1&# ,3##.21',+'+1,14,-/10 1&,0#0$2+!1',+,$1+"1&,0#0$2+!1',+,$1&#/#01,+0#.2#+1)61&#/#%/#00,/0/#/#-)!#" 6 1&# $'/01 p* -/'+!'-) !,*-,+#+10 ,$ #!& *1/'5 ,$ , 0#/31',+0 &# +2)) &6-,1�'0 1&1 -/'+!'-) !,*-,+#+10 ,$ 1&# )11#/ %/,2- &3# 7#/, !,#$$'!'#+10 %'3#0 1&# $,)),4'+% 1#01 011'01'! #%2'+#'00,))#+"#/03'/1'4/'#1)

General

SSR SSR p SSR T p

SSR0 '0, 1'+#" 6/#%/#00'+%61,++"$'/01- -/'+!'-)!,*-,+#+10,$1&#*1/'54'1&)%%#" 3)2#0,$61&#+/#0'"2)01/##51/!1#"+"!,//#0-,+"'+%02*,$0.2/#"/#0'"2)0 /# #01'*1#" $1#/4/"0 /#0'"2)0 1 /# #51/!1#" $/,* 1&# /#%/#00',+ ,$ 1 ,+ +" )) 1&# 1#/*0,$14,-/'+!'-)!,*-,+#+1*1/'!#0&#+!,//#0-,+"'+%02*,$0.2/#"/#0'"2)0 /#!)!2)1#"&'0011'01'!'0, 1'+#" 6F-"'01/' 21',+4'1&-+" -"#%/##0,$$/##",* #%2'+#'00,))#+"#/03'/1'4/'#1) &2#1) 3.1.3 Nonlinear Causality Based on ANN /#010,+0'+%)#&'""#+)6#/+#14,/(4'1&),%'01'!+#2/)$2+!1',+&'0'0 0#",+1&# $,)),4'+%#.21',+4&#/#1&#*,"#)002*#00#*'""'1'3#$2+!1',+)$,/* y t g y t y t q g f x t x t n f t

!+($3352;,0$7,212)(48$7,21 f x t x t n f ,67+(1*,9(1%< p

?7 j j

e

j wt

:+(5( R :7 ?7? ,6 $ 1 ; 9(&725 ;7 >;71? > 1? $5( 1 ; 9(&7256$1'-- >-1?)25j >p$5(1; ; 9(&7256!+(18//+<327+(6,62)5$1*(5 121&$86$/,7<)257:2:($./<67$7,21$5<6(5,(6$1'(5*2',&6(5,(6,6*,9(1%3?,6$p; 9(&725"1'(57+(18//+<327+(6,67+(,'(17,),&$7,21352%/(02)-,6 62/9('%<*(1(5$7,1*-j = 1,…, p5$1'20/<)520$81,)250',675,%87,21(((7$/ 3.2 Alternative Asset-Pricing Models, Sentiment and Shariah Index Return !2 7(67 5,6.%$6(' +$5,$+ ,1'(; 5(7851 :( 3(5)250 $0$ $1' $&(7+ ),56767(3 7,0(6(5,(6 5(*5(66,21 2) )285 $/7(51$7,9( $66(735,&,1* 02'(/6 25 285 (03,5,&$/ $1$/<6,6 :( &216,'(57+5(($/7(51$7,9(/,1($5)$&72502'(/66,1*/()$&725$3,7$/66(75,&,1*2'(/ ,171(5 +$53( $0$$1'5(1&+ 7+5(()$&72502'(/!$1'$5+$57?6 )285)$&725 02'(/ /7(51$7,9( $66(735,&,1* 02'(/6 7(67 7+( +<327+(6,6 2) ,17(5&(376,1',67,1*8,6+$%/()520=(522//2:,1*08/7,)$&72563(&,),&$7,21683326(7+$75(785162) 2857(67$66(76,( +$5,$+1'(;$5(*(1(5$7('%<$k)$&725/,1($5$66(735,&,1*02'(/ k

Rt Rft t jt Fjt jt t T

j

:+(5( Rt Rft ,6 7+( (;&(66 5(7851 21 +$5,$+ ,1'(; 29(5 7+( 5,6.)5(( 5$7( F j 7+( (;&(66 5(7851 21 7+(

jth )$&7253257)2/,2 jt 7+(7(67$66(7/2$',1*21)$&725 j 2//2:,1*(48$7,21

63(&,),&$7,21$5+$57?6

)285)$&72502'(/,6

Rt Rft t MKTt rMKTt SMBt rSMBt HMLt rHMLt WMLt rWMLt t

:+(5( rMKTt rSMBt rHML7 rW M L $5( 7+( 0$5.(7 (;&(66 5(7851 5(78516 21 $1' # t

3257)2/,25(63(&7,9(/<$77,0(t ( t T ) ! S M B H M L W M L $5(7+()$&7256(16,7,9,7,(6 t

t

t

t

2) 7(67 $66(7 72 5(78516 21 7+( ! # 3257)2/,26 5(63(&7,9(/< 2//2:,1* (48$7,21 63(&,),&$7,21:(7(677+($/7(51$7,9(63(&,),&$7,212)!$1'!+( $'',7,212)6<67(0$7,&5,6.)$&7256)25$/7(51$7,9(63(&,),&$7,2162)$/7(51$7,9($66(735,&,1*02'(/6 +(/36 86 5((;$0,1( 7+( +<327+(6,6 2) ,17(5&(376 ,1',67,1*8,6+$%/( )520 =(52 )7(5 &21'8&7,1* 5,6.%$6('(;3/$1$7,21)25 +$5,$+,1'(;5(7851%(+$9,2586,1*$/7(51$7,9($66(735,&,1*02'(/6:( (;3/25( )857+(5 7+( ,03/,&$7,21 2) 6(17,0(17 $6 $ 6285&( 2) 35,&(' 5,6. 86,1* 7+( )2//2:,1* 63(&,),&$7,216

Rt Rft t SENTt SENT jt t T

k

Rt Rft t SENTt SENT jt Fjt jt t T

j

3$!.! SENT %/ 0$! +.0$+#+*( $*#! %* /!*0%)!*0 )!/1.!/ 1. )+ !( /,!%"%0%+* (+/!(5 "+((+3/!.#!.* 1.0(! "/!*0%)!*0,.%! /%#*%"%*0(5//+1.!+".%/'"+.!4!// .!01.*+*$.%$%* !40$!*3!!4,!00++/!.2!/%#*%"%*0* ,+/%0%2! S E N T ".+)!-10%+* t

$! ,+/%0%2! * /00%/0%((5 /%#*%"%*0 S E N T /!*0%)!*0 %* %0!/ 0$0 3%0$ * %*.!/! %* t

%*2!/0+. /!*0%)!*0 0$! $.%$ %* !4 3%(( #!*!.0! $%#$!. .!01.* +3!2!. %" .%/'/! !4,(*0%+* $+( / 0.1! 0$!* "0!. +*0.+((%*# 0$! !""!0 +" /5/0!)0% .%/' "0+./ 0$! /!*0%)!*0 !""!0/$+1( !%*/%#*%"%*0!0!/00$%/.#1)!*03%0$!-10%+* $!%*/%#*%"%*0 S E N T

t

* /%#*%"%*0 jt %* * 1#)!*0! //!0,.%%*# )+ !( ".)!3+.' %! !-10%+* 3$!.! /5/0!)0%.%/'"0+./.!%*(1 ! (+*#3%0$/!*0%)!*0.%/'/1##!/0/0$0.%/'+*(5)00!./"+. $.%$%* !4.!01.* 3.3 The continuous wavelet transform (CWT) +*0%*1+1/ 2!(!0/ .!2!( )+.! "!01.!/ +" 0 3$!* +),.! 0+ +0$!. +*2!*0%+*( !+*+)!0.% )!0$+ / * 0$%/ /01 5 3! 1/! +*0%*1+1/ 32!(!0 ".)!3+.' 0+ % !*0%"5 0$! .%/!/ ,!.%+ /* /1/!-1!*0(50!/00$!)1(0%0%)!$+.%6+*+)+2!)!*0+"03+//!0/ 1.%*#.%/!/* (),!.%+ /!!/,!%((51/!0$!32!(!0+$!.!*!* 0$!.+//32!(!0,$/!*#(! 0+0!/00$!.!(0%+*/$%,!03!!*#+( * /0+'.!01.*/0 %""!.!*00%)!$+.%6+*/ $! /,!%"% +. )+0$!. 32!(!0 +*/% !.! "+. 0$%/ /01 5 %/ 0$! Morlet wavelet +" +1,%((1 !0 (7/ 3$%$%/#%2!*5

t

j Ct

e

e

$!Morlet wavelet%/+),(!4/%*!32!3$!.! %)!*/%+*(!//".!-1!*5* 0%)!.!#%2!*5

C * 0*+. !.0+$2!#++ (*!!03!!*0%)!* ".!-1!*5(+(%/0%+*.%*/0! !0(

%62%!0( C %//!0!-1(0+ $!32!(!0+*/%/0/+"03++),+*!*0/0%)!+. (+0%+** /(!/$!+*0%*1+1/32!(!00.*/"+.)%/ !"%*! /0$!+*2+(10%+*+"0%)! /!.%!/,0/

W p s p t

t dt

s s

$!.!. !*+0!/+),(!4+*&1#0%+*/%/0$!0%)!,+/%0%+*+*0.+((%*#%0/(+0%+** /%/0$! /(!+*0.+((%*#0$!3% 0$+"0$!32!(!0* s *+.)(%6!/0$!32!(!00.*/"+.)/0+)'! 0$!) +),.(! .+// /(!/ * 0%)! /!.%!/ * +. !. 0+ )!/1.! 0$! ),(%01 ! +" /,!%"%

/$( . -$ .*-1-$) *!/# /$( . -$ ./ #/$( )/ #.' 3!*''*2$)"/# wavelet

power spectrum WPS p s Wp s 3.3.1 The wavelet coherence (WTC) 1 ' /*# - ) ( .0- ./# ./- )"/#*!..*$/$*) /2 )/2*/$( . -$ ./"$1 .'*' *-- '/$*)*1 -/$( .2 ''.-*..!- ,0 )$ ./$.'0'/ 3/&$)"/# -/$**!/# -*.. .+ /-0(/*/# +-*0/*!/# .+ /-0(*!/2*.$")'.*-/$( . -$ .# 21 ' /*# - ) *! /2*/$( . -$ .+/),/$."$1 ).

Rpq s

S s Wpq s

S s Wp s S s Wq s

# - S - +- . )/. .(**/#$)" *+ -/*- */# *1 - /$( ) .' 2$/# . $"# '*2 1'0 *! .0"" ./.#$"# -'*2 -*(*1 ( )/ /2 )/2*. -$ .# *)/*0-+'*/*-+/# $)/# /$( !- ,0 )3.+ )*/ ./# *(*1 ( )/*!/2*/$( . -$ .-*../$( + -$*.) .' # ' 1 '*!*(*1 ( )/$. $ 3/# *'*-$)/# *)/*0-+'*/$"#*(*1 ( )/$. / -($) 3- *'*-)2 &*(*1 ( )/$.- +- . )/ 3'0 *'*-# 21 ' /$) /$( $. )*/ *(+' / '3 '*'$4 # ) *)/$). " -/ !/. / $. /# - !*- ) ..-3 /* $)/-*0 *) *! $)!'0 ) # .#*2. ) - 2$/#$) 2#$# /# - '/$*).#$+ $. $./*-/ ..#*2)3*-- ) )*(+*

/# 21 ' /+*2 -.$")$!$) / ./$)") *) 3%0"$)""$).//# )0''#3+*/# .$..//$)"/#//# /" ) -/$)"+-* ..$."$1 )3) *- .//$*)-3 +-* .. *2 1 - (*- " ) -' +-* .. . () *)/ -'* .$(0'/$*). 3.3.2 The wavelet phase angle # +#. $!! - ) "$1 .0./# $)$/$*)*! '3.*! /# *.$''/$*).*!/2*/$( . -$ .. !0)/$*)*!/$( ).' # 21 ' /+#. $!! - ) ) / -($) .

Wpq s

W s pq

pq s /)

# - ) $. ) $("$)-3 ) - ' *+ -/*- - .+ /$1 '3# +#. - '/$*).#$+ /2 ) /2* /$( . -$ . $. "$1 ) 3 /# 21 ' / +#. )"' 0-/# - *)!$ ) $)/ -1' ) ( ). - ./$(/ /* / ./ /# $) ) *0/*!+#. +-*+ -/3 *! /2* /$( . -$ . # $-0'- +#. $. '0'/ /* ,0)/$!3 /# +#. - '/$*).#$+ 2$/# .//$./$' .$")$!$) "- / - /#) +'0. 2$/#$)/# '&--*2.- ! -+#. $!! - ) .+#. $!! - ) *!4 -*.0"" ././#//$( . -$ .*(*1 //# .+ $!$ !- ,0 )3)/# --*2.- $- / /*/# -$"#/# )--*2. - +*$)/ /*/# ' !/)/$+#. /# )/2*. -$ .- ) "/$1 '3*-- '/ !--*2.- $- /

:5='8*9 % & :.+4 9+8/+9 '8+ /4 6.'9+ '4* ? 2+'*9 > /, > '4* ? '8+ :.+ ,/89: '4* 9+)54* :/3+ 9+8/+9/458*+8/,'885=9'8+65/4:+*:5='8*9% &:.+4>2+'*9?4+-':/<+2?,'885=99.5= :.+*/8+):/54:5='8*9% &:.+4>2+'*9?659/:/<+2?'885=9:5='8*9:.+*/8+):/545,% & 9.5=:.':?2+'*9>4+-':/<+2?54:+'8259/3;2':/549'8+;9+*:5:+9::.+9:':/9:/)'29/-4/,/)'4)+ 5,)5.+8+4)+

4. Data and Variable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

0-** !,)6-7-2+()'0-2-2+:%09)73*8,) !'%2&)97)(83'32*-618,)94;%6( (3;2;%6(86)2(-28,)1%6/)863;2%2(0-** !,)*03;3**92(7*36)59-8=1989%0*92( -2:)781)28 79++)787 8,) -14368%2') 3* % 46)*)66)( %77)8 '0%77 %2( '327-()6)( %7 %2 )'3231-' 79&78-898)&=8,)4%68-'-4%287-28,)1%6/)8!,)6)*36)8,)2)8-2:)781)281%()&=1989%0*92(7-2 8,))59-8=1%6/)8-) !437-8-:)0=6)0%8)7838,)%++6)+%8)1%6/)87)28-1)28%2(7-+2-*-)7 348-1-71 %2( '32*-()2') -2 8,) 783'/ 1%6/)8 #) 97) 8,) ',%2+) -2 7)28-1)28 463<-)7 %7 396 7)28-1)28-2(-'%836%2(2(-%-140-)(:30%8-0-8=-2()<"$"$-7%073'327-()6)(%7-2:)7836 *)%6+%9+)%2(%2)+%8-:)7)28-1)28463<= -2') 463:-()7"$(%8%*631%6', 396 7%140)4)6-3(3*"$-7*6312(%6', 838, )48)1&)6 3;):)6&900-7,36&)%6-7, 7)28-1)28 3''966)2')7 '390( &) % 6%8-32%0 6)*0)'8-32 3* *9896) 4)6-3(7 )<4)'8%8-32 36 -66%8-32%0 )28,97-%7136%'31&-2%8-323*&38,%/)6%2(#96+0)6 !,)6)*36)-8-70-/)0=8,%8)%', 7)28-1)28 463<= 1%= -2'09() % 7)28-1)28 '31432)28 %7 ;)00 %7 -(-37=2'6%8-' 2327)28-1)28 6)0%8)('31432)28 -2')396-28)6)780-)7328,)-66%8-32%0'31432)283*8,)7)28-1)28;),%:) )<'09()( 8,) *92(%1)28%0 %2( &97-2)77'='0) '31432)28 *631 )%', 3* 8,) 7)28-1)28 463<= &= 368,3+32%0-7-2+-8;-8,6)74)'883*396*92(%1)28%0*%'8367-2(9786-%0463(9'8-32+63;8,6%8)8)61 746)%(6)%0)<',%2+)6%8)6%8)3*-2*0%8-323003;-2+%/)6%2(#96+0)6 ;)*36190%8) )59%8-32 83 -730%8) -66%8-32%0 7)28-1)28 '31432)28 3* 396 7)28-1)28 1)%796)7 *631 8,) *92(%1)28%0'31432)287

SENTt x x FUNDA xt t

X

#,)6) x -2(-'%8)78,)'3278%28 x 8,)4%6%1)8)683&))78-1%8)( t 8,)6%2(31)6636 8)61 F U N D A xt 6)46)7)287 8,) %&3:)1)28-32)( *396 *92(%1)28%0 *%'8367 -2(9786-%0 463(9'8-32 +63;8,6%8)8)61746)%(6)%0)<',%2+)6%8)6%8)3*-2*0%8-32!,)*-88)(:%09)73*)59%8-32 '%4896)

8,)

6%8-32%0

'31432)28

3*

1%6/)8;-()

7)28-1)28

463<-)7

SENTPCR SENTADR SENTMF !,) 6)7-(9%0 3* )59%8-32 '%4896)7 8,) -66%8-32%0 '31432)283*8,)7)28-1)28#)97)8,)368,3+32%07)28-1)28463<-)7*36396)78-1%8-32 #) 4038 8,) 13:)1)28 3* ,%6-%, %2( ,%6-%, 3:)6 8,) 4)6-3( &)8;))2 '83&)6 %2( )48)1&)6 8 -7 ):-()28 8,) &38, 8,) -2(-')7 ,%:) 7,3;2 +63;8, *631

83 0):)0!%&0) 46)7)287 8,) ()7'6-48-:) 78%8-78-'7 *36 %00 8,) :%6-%&0)7 -2 8,) 789(= 8%8-78-'7 6)4368)( -2 %2)0 3* !%&0) 79++)78 8,%8 *36 %00 3* 8,) 7)6-)7 8,) 2900 ,=438,)7-7 3* 232 78%8-32%6-8='%2&)6).)'8)(%8% '32*-()2')0):)0!,)'366)0%8-32'3)**-'-)286)4368)(-2%2)0 3*8,)8%&0)79++)7878,%88,)8;3 ,%6-%,-2(-')7%6),-+,0='366)0%8)(;-8,8,)1%6/)8-2()< %2( 8,97 '%2 &) '327-()6)( %7 %2 -14368%28 -2:)78%&0) %77)8 '0%77 ;-8, '314%6%&0) 6)8962 4)6*361%2')-+,'366)0%8-32-7(9)83783'/73*70%1-'-2(-')7&)-2+%79&7)83*%008,)783'/7

/-56)(216,)0%-1&2%4():'/7(-1+342,-&-6)(5)'6245 ,)1)+%6-8)'244)/%6-212**%'6249-6, 6,) ,%4-%, -1(-')5 57++)565 6,%6 0256 2* 6,) '2156-67)16 '203%1-)5 -1 6,) -1(-')5 %4) /%4+) 5-<) '203%1-)5 1 %1)/ 6,) 692 &75-1)55 ';'/) 342:-)5 -) %1( $ %4) 1)+%6-8)/; '244)/%6)(9-6,6,),%4-%,-1(-')56%6-56-'5*420%1)/57++)566,%6):')36*24 6,4))26,)45)16-0)16342:-)5325-6-8)/;'244)/%6)9-6,6,),%4-%,1():4)6741&),%8-24 Fig 1. Shariah 50 and Shariah 500 Index Shariah 50 and Shariah 500 Index

3000 2500

Index

2000 1500

Shariah 500 Shariah 50

1000 500 0

Table 1 Descriptive Statistics %1)/)5'4-36-8)6%6-56-'52*%//8%4-%&/)5 !%4-%&/)5

)%1

6)8-%6-21

-1-070

%:-070

,%4-%,

,%4-%,

" $ !# %1)/244)/%6-21%64-:2*-5.%'6245 ,%4-%, ,%4-%, ,%4-%, ,%4-%, " %1)/244)/%6-21%64-:2*%'42'2120-'!%4-%&/)5

)562 2156%16 => => => => => => => => => => => => => =>

)569-6, 2156%16 => => => => => => => => => => => => => =>

"

!0):1)0 !0):1)0 &! !0):1)0 !0):1)0 &! )6-47::-4)<176)<:1@7.!-6<15-6<:7@1-; !0):1)0 !0):1)0 !" !" !" !0):1)0 !0):1)0 !" !" !" #% 7<-;!)584-8-:17,;8)6;.:75<0+<7*-: <144 <0!-8<-5*-: .7:)<7<)47. ?--34A7*;-:>)<176;$-=;-<0- +0)6/-16;-6<15-6<8:7@1-;);7=:;-6<15-6<16,1+<7:$-0)>-+76,=+<-,=61<:77<<-;<=/5-6<-,1+3-A=44-:1-<-;< <7,-<-:516-<0-;<)<176):1):1)*4-;

5. Results Discussion "01;;-+<1761;,1>1,-,16<7-);;-<8:1+16/57,-4;<7<-;<):1;3 *);-,-@84)6)<176.7:!0):1)016,-@:-<=:6*-0)>17: 5.1 Estimation Results of Linear and Nonlinear Causality $-0)>-+0-+3-,.7:+)=;)4:-4)<176;018;.:75;-6<15-6<;<7!0):1)0:-<=:6;76<0-,-+7587;-, ;-:1-; .7: -)+0 <15-;+)4- "0- ?)>-4-< ,-+7587;-; :-<=:6; ;-6<15-6<; )6, 5)+:7-+76751+ >):1)*4-;16<7.1>-+75876-6<;D )6, D:-8:-;-6<16/+75876-6<;7.,1..-:-6< .:-9=-6+1-;)6,! 1;<0-;577<0-,+75876-6<7.<0-7:1/16)4;-:1-;"0-,-+7587;1<176/1>-;<0- ),>)6<)/- <7 ;07? <0- 7:1/16)4 ;-:1-; 16 ,1..-:-6< <15-.:-9=-6+A ,75)16; "0- <15-;+)4- +7::-;876,16/<7,1..-:-6<,-+7587;-,+75876-6<;1;;07?61688-6,1@76416-):+)=;)41 1:<))6,-/=16-1;;744--<)4 1;)8841-,<7 7>-:+75- ;<:76/ );;=58<176; 7. 416-): :)6/-: +)=;)41 -+76;1,-:-,):1)*4-; <0:-- 4)/; 6 76 <0- -@7/-67=; )6, ) <0:-- 7:,-: .7: ")A47: ;-:1-;-@8)6;1763 $-;-4-+< 01,,-6=61<;8 <7/-6-:)<-,1..-:-6<-4-5-6<;7.<0- >-+<7:;2.7:2C8:)6,754A.:75<0-=61.7:5'BB(,1;<:1*=<176?1<0B "0-8:16+18)4 +75876-6):1)<17616<0-+7::-;876,16/5)<:1@1;+76;1,-:-,16<0-)6)4A;1;

")*4- :-87:<; <0- 416-): )6, 676416-): +)=;)41 -)4 16.7:5)<176:-4)<-,<7;07:<:=6)6, )6,?--3;5-,1=5:=6 )6, )6, ?--3;6<0-7<0-:0)6,<0-47?-:.:-9=-6+A*)6,;)*7>-A-):5)A:-8:-;-6<.=6,)5-6<)4-..-+<;7.

+ "0-$"-,-+70$* 2$#2-*-,&03, 5$$)1"*-1$*70$* 2$#2-2'$0$ *$"-,-+7'$1$0$13*21(,

#(%%$0$,22(+$1" *$1" .230$2'$$%%$"21-%25-1$,2(+$,2(,#(" 2-01 ,# -,' 0( '0$230,1$%(,#2' 2*(,$ 0*7 ,#,-,*(,$ 0*7#-$1" 31$' 0( '0$230,1 2 ** 2(+$1" *$1 2- 9 5$$)1 2- 5$$)1 '(1 (1 1(+(* 0 2- 2'$ %(,#(,&1 -% "-,4$,2(-, *+ 0)$21 1-!1$04$#!7'3$2 * -5$4$0(1%-3,#2-' 4$,- " 31 *(27 2 ,# 2-' 0( ' ,#' ( ' 0$230,10$1.$"2(4$*72'$0$13*21-%,-,*(,$ 0 " 31 *(27 2$121 13&&$12 2' 2 (,4$12-0 1$,2(+$,21 #-$1 ,-2 -,*7 " 31$ ' 0( 0$230,1 (, 1'-02 ,# *-,&03,!32 *1-' 4$ "-+.*$6*$ #* &0$* 2(-,1'(.5(2'0$230,1$#-,-2%(,# ,7" 31 *(27 %0-++323 *%3,#(,4$12+$,21(,2-$/3(272-0$230,12+(&'2!$#3$2-2'$* ")-% ,7+323 *%3,# 1"'$+$1(,,#( 5'("'(,4$12-,*7(,' 0( "-+.*( ,212-")1 *2'-3&'$/3(27(,4$12+$,21#-,-2 4(-* 2$' 0( '(,4$12+$,2.0(,"(.*$1' , (1%-3,#2- %%$"2' 0( '0$230,!-2'(, 1'-02 ,# *-,&03, (1 5(2,$11$# 2- ' 4$ 120-,& ,-,*(,$ 0 $%%$"21 -, ' 0( ' 0$230, (, 2'$ *-,&03, 1 13&&$12$# !7 2'$ p4 *3$ ' 1 " 31 * $%%$"21 -, 2'0$$ (,#("$1 $ %(,# 2' 2 -30 %(,#(,&1 0$ "-,1(12$,2 5(2' + *$1 5'- .0-4(#$# $4(#$,"$ -% " 31 *(27 5'$0$!7 #0(4$10$230,1 "0-11%(0+1(8$-0+ 0)$2" .(2 *(8 2(-,,2'$1 +$*(,$5(2'+ *$1 5$ *1-,-2$2' 2(113.$0(-01$,2(+$,2.0-672--2'$01(,2$0+1-%$6.* (,(,&0$230,1-,1(12$,2 5(2' 2'$ !$' 4(-0 * 0&3+$,2 2' 2 %$ 0 (1 120-,& +-2(4 2-0 2' , "-,%(#$,"$ 5$ ,-2("$ 2' 2 2'$ :%$ 0; 1 0$.0$1$,2$# !7 (1 2'$ .0$%$00$# +$ 130$ -% 1$,2(+$,2 + *$1 $4$, !$22$0 2' ,2'$1$,2(+$,2(,#$6 , &$,$0 * 5$ $6.$"2 (,4$12-0 1$,2(+$,21 +-0$ *()$*7 2- %%$"2 1'-022$0+ 0$230,1 '(&' %0$/3$,2 2(+$1" *$1 1 2'$ + 0)$21 0$ $%%("($,2 ,# 0$230, 2- %3,# +$,2 *1 (, 2'$ *-,& 03, -0 *-5$0 %0$/3$,22(+$1" *$1'3$2 * '$%(,#(,&1(+.*72' 2(,4$12-01$,2(+$,2 %%$"210$230,1 5'$2'$0-,$(11'-02-0*-,&2$0+20 #$01

;<

;< ;<

;< ;<

;< ;< ;< ; < ;< ;< ;< ;< ;< ;< ;< ;<

;< ;< ;< ;< ;< ;< ;< ;<

; < ; < ; <

;< ;< ; < ;<

;< ;< ;< ;<

;< ;< ; < ;<

; < ; < ; < ;<

; < ; < ; < ;< ;< ;<

;< ;< ;<

;< ;< ;< ;< ; < ;< ;< ;< ;< ; < (56304+$3,$+

;< ;< ; < ;< ; < ; < ;< ;< ; < ; < ;< ;<

(56304+$3,$+ ;< ; < ; <

;< ;< ;<

; <

; <

; <

; < ; < ; <

; < ; <

; < ;< ;< ;< ; <

;< ; < ; <

; < ;<

; < ; < ; < ; < ;<

; <

; <

; <

; < ;<

; < ;< ;<

; < ;< ;< ; < ; < ;

< ; < ;< ; < ;< (56304+$3,$+

; < ;< ;<

(56304+$3,$+

;< ;< ;<

;< ;< ;<

;< ;<

;< ;< ;<

;<

;<

;< ; < ; <

;< ;<

;< ;< ;<

;< ;< ;<

;< ; < ;< !#(56304+$3,$+

;< ; < ; <

!#(56304+$3,$+

;< ;<

; < ;< ;<

;< ;<

;< ;< ;<

; < ;<

; < ;< ;<

; < ;<

; < ;< ;<

15(4 +(010.,0($3&$64$.,5:5(454$3(%$4('10$0$22319,/$5,101) $:.134(3,(4(92$04,10$0'35,),&,$.(63$.(5813- +('(&1/214('&1/210(054 8((-4 8((-4 8((-4 8((-4 8((-4$3(1%5$,0('%:/$9,/$.17(3.$2',4&3(5(8$7(.(553$04)13/" F45$54$3(3(2135(',*63(4,0&63.: %3$&-(54$3(p7$.6(4

,0($3 3$0*(3 (0 $:.13 (/, $'',5,7( $:.13 (0 $:.13

;<

;< ;<

;< ;< ;< ;< ;<

;< ;< ;< ;< ;< (56304+$3,$+

;< ;< ;< ; < ; < ;< ;< ;<

; < ;< ;< ;<

,0($3 3$0*(3 (0 $:.13 (/, $'',5,7( $:.13 (0 $:.13

(56304+$3,$+

Table 2 Linear and Non Linear Causality: Sentiment and Shariah Index Return

8 9 89

89

89 89

89 8 9

89 89 8 9

89 8 9

89

89

89 89 89

8 9 89

8 9 89 89

0%%0%230-1(!0)!(

89 89

89 89

89 8 9 8 9

89 89

89 89

89 8 9 8 9

8 9 89 8 9 8 9 89

8 9 8 9 89 8 9 8 9

8 9 89 8 9

89 8 9

89 89 8 9 8 9 8 9

8 9 89 8 9 8 9 8 9

8 9 8 9 89 8 9 89

8 9

89 8 9

-&+%230-1(!0)!(

8 9 89

8 9

89 89

-&+%230-1(!0)!(

89 89

89

89 89

89 89

89

89 8

9 8 9 8 9

8 9 8 9 8 9

89 89

89 89 89

89 89

89 89 8 9

8 9 89

8 9 8 9 8 9 8 9 8 9

8 9 8 9 8 9 89 89

89 89 89 89 89

89 89 8 9

))/%230-1(!0)!(

8 9 8 9

8 9 89 8 9

))/%230-1(!0)!(

89

89

89 89

8 9

8 9

89

8 9 8 9 89 8 9 89

89 8 9 8 9

89

89

89 89 89

8 9 8 9

8 9 8 9 8 9

8 9 89

89

8 9

8 9

89 8 9

89 8 9 8 9

89 8 9

89 89 89

8 9

89

8 9 89 89

89 89

89

89

89

89 89

89 89 89

)%+$1/0%!$%230-1(!0)!(

89 89

89 8 9 8 9

)%+$1/0%!$%230-1(!0)!(

.2%1(%-.-+)-%!0#!31!+)272%121!0%"!1%$.-!-!//0.6),!2).-.&!7+.01%0)%1%6/!-1).-!-$02)&)#)!+%30!+%25.0*(%$%#.,/.1%$#.,/.-%-21 5%%*1 5%%*1 5%%*1 5%%*1 5%%*1!0%."2!)-%$"7,!6),!+.4%0+!/$)1#0%2%5!4%+%220!-1&.0,12!21!0%0%/.02%$)'30%1)-#30+7 "0!#*%21!0%/4!+3%1

)-%!0 0!-'%0 %- !7+.0 %,) !$$)2)4% !7+.0 %- !7+.0

89 89

89 89

8 9

89 89

89

89 89

89

89 8 9

)-%!0 0!-'%0 %- !7+.0 %,) !$$)2)4% !7+.0 %- !7+.0

89 89

89

0%%0%230-1(!0)!(

Table 3 Linear and Non Linear Causality: Macroeconomic Variables and Shariah Index Return

& &9".*/& 5)& -*/&"3 "/% /0/-*/&"3 $"64"-*5: #&58&&/ ."$30&$0/0.*$ 7"3*"#-&4 "/% )"3*") 3&563/4 */ %*''&3&/5 5*.&4$"-&4 8*5) "446.15*0/4 5)"5 ."3,&54 "3& )&5&30(&/&064 "/% %*''&3&/5 '"$5034 */ 5)& 4)035 .&%*6. "/% -0/( 36/ "''&$5 5)& 7"3*"5*0/ */ 450$, 3&563/4 "/% ."$30&$0/0.*$7"3*"#-&4*8"3*&5"- "#-& 4)084-*/&"3"/%/0/-*/&"3$"64"-*5:5&45 '03."$30&$0/0.*$*/%*$"5034"/%)"3*")3&563/4

&%0/050#4&37&"/:$"64"-&''&$540'

"/%0/)"3*")*/%*$&43&563/&9$&15"5 8)&3&)"4$"64"5*0/&''&$50/)"3*")*/%&9 3&563/4)&4&'*/%*/(4"3&7&3:4*.*-"350"*'"3&5"- "/%")-06-&5"- 5.",&4 4&/4& 5)"5 "''&$54 450$, 3&563/4 5)306() */5&3&45 3"5&4 "/% )"3*") 13*/$*1-& %0&4 /05 "--08 */7&45.&/548)&3&*/5&3&4503'&&4"3&&"3/&%08&7&38&%&5&$55)&&''&$540'5)&:*&-%413&"% 0/ )"3*") 3&563/4 */&"3 $"64"-*5: *4 '06/% "5 ; 8&&,4 ; 8&&,4 ; 8&&,4 "/% ; 8&&,4 8)&3&"4 /0/-*/&"3 &''&$5 *4 /05*$&% */ "/% */ 5)& $"4& 0' )"3*") "/% )"3*") 3&563/4 3&41&$5*7&-: 5 *4 8035) .&/5*0/*/( 5)"5 5)& :*&-% 413&"%1-":4"7&3:*.1035"/530-&*/13&%*$5*/(5)&&$0/0.:#05)*/5)&4)035"/%-0/(36/

&

'*/%5)"5$)"/(&*/"''&$54#05)-*/&"3-:"/%/0/-*/&"3-:)"3*")3&563/"$3044"--5*.&4$"-&4 *&4)035"/%-0/(36/)&'*/%*/(4"3&$0/4*45&/58*5)"+*%"/%!640' '035)&&9$)"/(& 3"5&4 *.1"$5 0/ 4-".*$ 450$, 3&563/4 )& '*/%*/(4 0' 5)*4 456%: "3& 3&-&7"/5 50 580 *.1035"/5 *446&4 3&-"5&% 50 4-".*$ 450$,4 )& '*345 )*()-*()54 40.& $)"3"$5&3*45*$4 0' 4-".*$ 450$, "3& 4*.*-"3 50 $0/7&/5*0/"- 450$,4 "/% */%*$&4 )*4 456%: 3&10354 " 4*(/*'*$"/5 3&-"5*0/4)*1 #&58&&/ ."$307"3*"#-&4"/%)"3*")3&563/4

&"-40/05&5)"55)&3&"-&9$)"/(&3"5&4"3&4*(/*'*$"/5'03

"--5*.&4$"-&446((&454"$"64"-*5:*/4)035.&%*6."/%-0/(36/"/%:*&-%413&"%*44*(/*'*$"/5 */ "/% */%*$"5&4"$"64"-*5:*/4)035"/%.&%*6.36/&$0/%8&'*/%4*(/*'*$"/5-*/&"3 "/% /0/-*/&"3 3&-"5*0/4)*1 #&58&&/ 4&/5*.&/54 "/% )"3*") 3&563/4 /7&4503 4&/5*.&/54 ."*/-: "/%"3&4*(/*'*$"/58)*-&/&5$)"/(&*/.656"-'6/%'-08*/50&26*5:*4 */4*(/*'*$"/5*.1-:*/(5)"5*/7&45034&/5*.&/5*/%*$"50341-":"/*.1035"/530-&*/&91-"*/*/(5)& .07&.&/540')"3*")/%&9#05)*/5)&4)035"/%-0/(36/)*4'*/%*/(46((&4545)"5*'5)&580 4&/5*.&/5 1309*&4 "3& 456%*&% "4 */%&1&/%&/5 &91-"/"503: 7"3*"#-&4 */ "/ "44&5 13*$*/( .0%&- '3".&803,5)&:806-%%*41-":4530/(&.1*3*$"-3&46-54*/4&/5*.&/5#"4&%3*4,13*$*/()*4*446& 8*--#&%*4$644&%-"5&3*/"#-&

5.2 Sentiment, Risk Factors and Shariah Index Return )*4 4&$5*0/ "44&44&4 5)& &.1*3*$"- 1&3'03."/$& 0' "-5&3/"5*7& "44&513*$*/( .0%&-4 50 1307*%&"3*4,#"4&%&91-"/"5*0/'035)&4&-&$5&%)"3*")*/%*$&43&563/#&)"7*03/"#-&8& 3&1035063&45*."5&4'03"-5&3/"5*7&"44&513*$*/(.0%&-4'033*4,#"4&%)"3*")*/%&93&563/'5)& 4:45&."5*$ 3*4, '"$5034 "/%

41&$*'*&% 6/%&3 "-5&3/"5*7& "44&513*$*/(

.0%&-4 "/% &91-"*/ $30444&$5*0/"- 7"3*"5*0/ 0' &91&$5&% 450$, 3&563/4

&2&&3)7*3(- &8-&3)&-&0:) 9-*3#-&7.&-.3).(*8&8&:3.6:*&88*9(1&88 8-4:1) 349 '* &'1* 94 ,*3*7&9* 89&9.89.(&11> 8.,3.+.(&39 &1+& ;&1:*8

3 9-* 49-*7 -&3)

89&9.89.(&11> 8.,3.+.(&39 &1+& ;&1:*8 &3) 8>89*2&9.( 7.80 +&(9478 ,.;* &3 .3).(&9.43 9-&9 8>89*2&9.( 7.80 2&99*78 &3) #-&7.&- .3).(*8 8*7;* &8 & '*99*7 .3;*89&'1* &88*9 (1&88 <.9- &3 *=(*88 7.80 &)/:89*)7*9:73 Table 4 Alternative Asset Pricing Models and Shariah Index Return

"$

#

%

"86:&7*

#9&9

%&1)$*89

@

A @

A

@

A @

A

@

A @

A

@

A @

A

!&3*1&5.9&188*9!7.(.3,4)*1! #-&7.&- #-&7.&-

!&3*1&2&&3)7*3(-$-7**&(9474)*1$ #-&7.&- #-&7.&-

!&3*1&7-&794:7&(9474)*1 #-&7.&-

@

A @

A #-&7.&-

@

A @

A 49*8#&251*5*7.4)85&38+7429- (94'*7

9.11 9-#*59*2'*7 +47&949&14+<**01>4'8*7;&9.438 *9*748(*)&89.(.9> 74':89 t 89&9.89.(8 &7* 7*5479*) .3 5&7*39-*8.8 "*5479*) 7*8:198 &7* (-*(0*) +47 8*7.&1 (477*1&9.43 :8.3,:7'.3%&9843%89&9.89.( .,:7*8.3(:71>'7&(0*98&7*5;&1:*8 8-4<88.,3.+.(&3(*&9 &3)1*;*17*85*(9.;*1>

$&'1*7*54798*89.2&9.437*8:198+47&2&&3)&(*9-8 +.78989*59.2*8*7.*87*,7*88.43 4++4:7&19*73&9.;*&88*957.(.3,24)*18 !&3*1&3)8-4<*89.2&9.437*8:198+47! $ &3) 7*85*(9.;*1> (7488 &11 9-* 9-7** 5&3*18 "$ .8 +4:3) 94 '* 57.(*) 8.,3.+.(&391> # 57.(*) 8.,3.+.(&391> 431> .3 #-&7.&- .3)*= 7*9:73 -4<*;*7 .9 148*8 89&9.89.(&1 8.,3.+.(&3(* .3 #-&7.&-

.3)*= 7*9:73 $-* 3*,&9.;* 8.,3 &884(.&9*) <.9- # 8:,,*8989-&92489894(08&884(.&9*)<.9-#-&7.&- &3)#-&7.&-

.3).(*8&7*1&7,*(&5894(08 $-*57.(.3,5&99*734+;&1:*+&(947.889&9.89.(&11>8.,3.+.(&39&(7488&1185*(.+.(&9.438 $-* 3*,&9.;*8.,34+,.;*8&3.3).(&9.439-&9'49-9-*#-&7.&-.3).(*8(4257.8*,74<9-894(08 $4 '7.*+1>8:2:59-*7*8:1987*;*&19-&99<4#-&7.&-.3).(*87*57*8*391&7,*(&5,74<9-894(08 $-.8 .8 (438.89*39 <.9- 4:7 ->549-*8.8 9-&9 1&7,*(&5 894(0 (43(*397&9.43 4+ #-&7.&- .3).(*8 574-.'.98 ).897*88 7.80 ->549-*8.8 &8 .39*7*89 7&9* 7.80 .8 .38.,3.+.(&39 +47 #-&7.&- .3).(*8 % )4*8 349 &55*&794'*&3>8.,3.+.(&397.80+47#-&7.&-.3).(*87*9:738;&7.&9.43 #.,3.+.(&3914&).3,843&11 9-*9-7**7.80+&(9478&143,<.9-*(4342.(8.,3&7*(438.89*39<.9-*7)&)*9&1 +47#&:). 894(02&70*9 $-*8.,3.+.(&3914&).3,84+"$#&3)+&(9478.3).(&9*9-&99-*>(&59:7* 89743,(42243;&7.&9.43.3894(07*9:738&3)9-:89-*9-7**+&(94724)*1.8&'*99*7+.994*=51&.3 9-**=(*887*9:734+#-&7.&-.3).(*8 $-*7*8:198+47?*74.39*7(*5989*89->549-*8.8.3).(&9*9-&9&11

#$!"

#$" #$

"$

#

% >

>

>

> > > > ? > ?

> ?

> ? > ? > ? > ? > ? > ? > ?

#8&8.78.(7 %&0)$*78

> > ? #-&6.&-

> > ? #-&6.&-

> > ? #-&6.&-

> > ? #-&6.&- ***

> > ? #-&6.&-

> > ? 38*7#&140*4*6.3)74&27+6318- (83'*6 8.008-#*48*1'*6 +36&838&03+ ;**/0=3'7*6:&8.327*8*637(*)&78.(.8=63'978t78&8.78.(7&6*6*4368*).2 4&6*28-*7.7"*4368*)6*79087&6*(-*(/*)+367*6.&0(366*0&8.3297.2,96'.2%&8732%78&8.78.(.,96*7.2(960='6&(/*87&6*4:&09*77-3;7.,2.+.(&2(* &8 &2) 0*:*06*74*(8.:*0=

#-&6.&-

"759&6*

!&2*014&(83+#*28.1*2832#-&6.&-2)*<"*8962.2&29,1*28*)77*8!6.(.2,3)*06&1*;36/

#-&6.&-

#-&6.&-

#-&6.&-

#-&6.&-

#-&6.&-

#-&6.&-

#-&6.&-

#-&6.&-

!&2*014&(83+#*28.1*2832#-&6.&-2)*<"*8962

Table 5 Investor Sentiment, Alternative Asset Pricing Models and Shariah Index Return

%).!,!+.- ,! !*)*(%''3 '*1 %) %-.%)#/%-$'! ",*( 4!,* ) %)-%#)%"%). "*, $,%$ %) !2%#)%"%).'"0'/!-,!*-!,0'!"*,$,%$ %) !2 '! ,!+*,.-.$!%(+.*"%)0!-.*,-!).%(!).'*)#1%.$,%-&".*,-*)$,%$) %!- ,!./,)!$0%*,)!'*"'! +,!-!).-.$!%(+.*"%)0!-.*,-!).%(!).*)$,%$,!./,) !$0%*,1%.$*/.*).,*''%)#.$!%(+.*"-3-.!(.%,%-&".*,-)!'*"'! ,!+*,.-.$! !-.%(.%*) *" -!).%(!)./#(!).! --!.+,%%)# (* !'- .* *).,*' -3-.!(.% ,%-& ".*,- )./%.%0!'3)!',!-/'.--/++*,.-..%-.%''3-%#)%"%).+,%%)#%(+'%.%*)*"-!).%(!).,%-& "*, $,%$ ) $,%$ %) %!- "*, ) +,*2%!- $! *!""%%!).-*"%) %.!.$.*)!-.) , !0%.%*)%),!-!%)%)0!-.*,-!).%(!).) %),!-! .$! ,!./,) *" $,%$ ) $,%$ %) %!- 3 ) +!,!). ,!-+!.%0!'3 %(%','3 .$! *!""%%!).- *" ,!0!' .$. -.) , !0%.%*) %),!-! %) %)0!-.*, -!).%(!). ) %),!-! .$! ,!./,) *" $,%$ ) $,%$ %) %!- 3 +!,!). $%- +,%%)#%(+'%.%*)*"-!).%(!).+,*2%!-%-*)-%-.!).1%.$.$!)*)'%)!,10!'!.-! ++,*$ 0!,'',!-/'.-%))!'-/##!-..$.-!).%(!).(..!,--+,%! ,%-&"*,$,%$%) %!-,!./,) !$0%*, *1!0!, */, ,!-/'.- %) )!' #%0! ) %).!,!-.%)# %)-%#$. %).* ,%-&-! !2+').%*) "*, $,%$ %) %!- ,!./,) 3 %).,* /%)# %)0!-.*, -!).%(!). %).* ) --!. +,%%)# ",(!1*,&1!..!(+..*!2(%)!.$!%(+.*"%)0!-.*,-!).%(!).".!,*).,*''%)#.$!!""!.*" -3-.!(.% ,%-& ".*,- - 1! *).,*' -3-.!(.% ,%-& ".*,- %) .$! -!).%(!)./#(!).! --!. +,%%)# (* !' .$! -..%-.%' ) !*)*(% -%#)%"%)! *" -!).%(!). +,*2%!- !'%)! .* ',#!, !2.!).!).%(!).*!""%%!).-,!'.! .*) 1!,!"*/) -%#)%"%).*)'3 . +!,!). '!0!' "*, .$! $,%$ %) !2 ) %)-%#)%"%). "*, $,%$ ,!./,)- $! (#)%./ !*"*!""%%!).%-#%))!#'%#%'!..%-.%') !*)*(%-%#)%"%)!*" +,%%)# +..!,) *" .$! (,&!. ".*, -%4! ".*, ) 0'/! ".*, %- *)-%-.!). 1%.$ */, +,!0%*/- )'3-%-,!+*,.! %)'!1*%).!,!-.%)#*-!,0.%*)-)!( !.**(+,!-!).%(!).,%-& +,%%)#+..!,),*--)!'-) %,-.-!).%(!).(..!,--+,%! -*/,!*",%-&"*,.$! !$0%*,*"$,%$%) %!-,!./,)!*) "*,.$!,!./,)!$0%*,*" $,%$%) %!-,%-&-! !2+').%*)$*' -.,/!*(+,! .*!$0%*,'!2+').%*)!/-!".!,*).,*''%)#.$!!""!.*" -3-.!(.%,%-&".*,-.$!-!).%(!).!""!.1-"*/) .*!%)-%#)%"%).

6. Robustness Tests *, ,*/-.)!-- 1! .!-. "*, -.%'%.3 *" .$! *!""%%!).- 3 ++'3%)# ' ,*/-.)!-- .!-. '!) +,!-!).,!-/'.-1%.$' -..%-.%-$%-++,*$$!'+-.*$!&.$!$!.!,*#!)!%.3 *" +,(!.!,- ,*-- %""!,!). (* !'- $! )/'' $3+*.$!-%- *" ' .!-. %- .$. %)'/-%*) *" 0,%'!$-)*-%#)%"%)!#%)-..$!'.!,).%0!$3+*.$!-%-.$.0,%'!$--%#)%"%).,*'!%)

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

Figu ure 2. Wavvelet Coherrence betweeen Shariah h Returns and a Sentim ments ' /( ' /$12/,0 ,#

$' /( ' /$12/,0 ' 0 ,#

(&'"--'$/$,"$. 1"' 1 ' 0$ ,&*$ //--4 ! ' /( ' /$12/,0 ,#

-,$-%(,%*2$,"$

#&$$%%$"10

%' /( / ' /$12//,0 ,#

"'' /( ' /$122/,0 ,#

#' /( ' //$12/,0 ,#

,

$"

&' /( / ' /$122/,0 ,#

'' /(( ' /$12//,0 ,#

-3

,

,

$"

-3

Note: Fig. 22 3$*$1"-''$/$,"$!$14$$$,' /( '/$$12,$0' /( ' ,#' /( ' ,##0$,1(+$,10 ,# ' '$ '-/(7-,1 * ,# 3$/1(" * * 5(0 /$./$00$,10 1(+$ (,, 4$$)0 ,# 1'$ .$/(-# /$0.$"1(3$*66 '$ "-*-/00 / ,&$ %/-+ #$$. !*2$ *--4 "-'$/$,"$,- "-//$* 1(-, 1- #$$. /$$# '(&' "-'$/$,"$.$/%$"1 "-//$* 1(-,'$ /$ 4(11'(,1'$!* ") )"-,1-2/0(,##(" 1$0"-'$/$$,"60(&,(%(" ,1 , 1 *$3$**-%0(&,(%(" ,"$4'("'(0 , (,%*2$,"$ " *"2* 1$# 4(1' -,1$ /*- / 0(+22* 1(-,0 '$ "-,,$ -% (,#(" 1$0 11'$ /$&(-, %%%$"1$# !6 $#& &$ $%%$"10 ,## (0 /$./$0$,1$$# !6 1'$ /$ -210(#$ 1'$ $ "-,$ (, *(&' '1 0' #$ '$

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

+ '%1.# +" $3 3#, /#.2#0&0"1.'+% %!.'/'/-#.'',"/&.'& +"&.'& .#01.+/ ++" .# '+ ' -&/# $,,. 0&# 0'*# &,.'6,+ ,$ 3##( ( -#.',"/ 10 1 3&'!& '/ -)5'+% 0&&# )#" .,)## '/ 1+!)#.. 10 '+ 0&# 0 !,&#.#+ +!# #03##++ &.'& .#01.+/ . +" /#+0'*#+0// *,/0)5 #44'/0 '+ 0&# /&,.0.1+ /

+" 3##(/ '0& .#$#.#++!# 0, '%1..# ! +"

% 3# "", +,0 $'+"" +5 !,..#))0',+ ,. !,,*,2#*#+ +0 #03##+ &.'& .#001.+/ +" +)'(# ,0&&#. /#+0'*##+0 '+"'!0, ,./ '+ '%11.# " + +" & 3# ", $'+" /0.,+% !,*,2#*#+0 #03##+ &.'&.#011.+/+"&.'& +"&.'& .#01.+/+" .#,1 10,$-&/# $,.0�'* *#&,.'6,+ ,$ 3##(-#.',"/ 3&#.# '/-)5'+%0&#)#".,,)#10'+

0&#!,&#.##+!# #03###+&.'& .#01.+/+""/#+0'*#+0//*,/0)5#4 4'/0'+0&#//&,.0.1+

+" 3##(/&&'//1%%#/0//'/)#"'+%'+"'!!0,.$,.'+2 2#/0,./$,.00.!('+%0&##.#01.+/,$&.'& mic Factorrs Figure 3. Wavelet Coherence C between b Sh hariah Retu urns and Macroeconom M &.'& .#011.+/+"

#&.'& .#01.+/+"

&..'& .#01.++/+" $&.'& .#01.+/+""

$)"1*"") 1&341.22".%

( ()"1*") 1&341.2".% .%

))"1*") 1&341.2 ".%!

%)"1*")) 1&341.2".%!

Notes: Fig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

)*2 *2 5&&18 &5*%&.33 3)"3 3)& 1&&,"3*/.2)*0 /' )"1*") ) 1&341.2 6*3) 6 *2 -/ /1& 5*2*#,& '/,,/6&%##8 5 5&1",,3)&2&'*.%*.(2$/ /11/#/1"3&33)&1&24,32 /'"#,& /6&5&1 3)&'*.%*.((2/'6"5&,,&3$/)&1&.$$&(*5&-/11&&70,"."3*/ /.2"#/433) )&1&,"3*/.22)*0/')"11*")1&341.2 6*3)2&.3*-&.32%41*..(3)&$1*2*220&1*/%2))&1&24,32""1&$/.2*23&. .36*3)3)&''*.%*.(2/')/1#&,&3 ",

)&8 "1(44&% 3)"3 $/. .3"(*/. &''& '&$32 /' *.5&&23/1 2&.3*-&.3 6&1& 2231/.( %41*. .( 3)& 24# 01*-&$1*22*20&1*/%/'' )&)"11*")*.%&7-"8)"5&,/ /6,&5&1"(&&&''&$3)/6 6&5&13)&*1 ,&22%*5&122*'*&%0/13'//,*/."341&**.$1&"2&2544,.&1"#*,*383//3)&1$1*2&2&6"..%"14&3",

*-*,"13//3)&6"5&,&&3$/)&1&.$&&#&36&&.11&341.2".% 2&.3*-&.326&&-0,//83)&2"-& -&3)/%3/ / '"$3/12 . . *( " ".% &6 6& /#2&15& +./6 3)& $/-/5&-&&.3 /' )"11*")1&341.2 6*3)-"$1/ 3)"3)"1*"")1&341.2""1&/43/'0 0)"2&/1)"55&".&("3*5 5&$/11&,"3*. .(1&,"3*/.22)*06*3) '/13)&

3*-&)/1*9/./' 6&&+2".% 6&&+2"11/620/*.3&%3/6"1%2,&'3%/6.*.%*$"3&3)"3 ,&"%2 3)& )"1*") 1&341.2 /6&5&1 %41*.( 0/23$1*2*2 *& 6& $". 6*3.&22 3)"3 $/ -/5&-&.3 &7*232 *. -&%*4-14. ".% 6&&+2 6)&1& "11/62 2)/6 3)& %*1&$3*/.2 3/6"1%23)&1*()3".%4024((&2320/2*3*5&,8,&"%23)&)"1*")1&341.2 *(41& # ".% ' 2)/6 3)& $/)&1&.$& #&36&&. )"1*") 1&341.2 ".% /1 3)& )"1*") 1&341.2*.',"3*/.0"*1$/-/5&-&.3*22*(.*'*$".3".%*.0)"2&'/13)&0&1*/%2/' 6&&+2".%

6&&+241*.(3)&3*-&0&1*/%/' 3)*20"*1*2'/4.%*.0)"2&"33)&3*-&2$",&/' ".% 6&&+2"11/62%*1&$3&%1*()340*.%*$"3&3)"3*.',"3*/.*2*.',4&.$*.(2)"1*"1&341.2 0/2*3*5&,8.,*+&".%6&%/./3'*.%$/-/5&-&.3#&36&&.)"1*")1&341.2".%*. " $/.3*.4/42 -"..&1 *(41& $ ".% (! 1"3)&1 20/1"%*$",,8 )& 2*(.*'*$".3 $/-/5&-&.3 #&36&&.3)&2&36/*2./3&%'/13)&0&1*/%/'6&&+2%41*.( ".%'/13)&0&1*/%/' 6&&+2 %41*.( )& "11/62 0/*.3&% 3/6"1%2 1*()3 40 %41*.( *-0,8 3)"3 ,&"%2 )"1*") 1&341.2 *3) 1&'&1&.$& 3/ *(41& % ".% ) 6& ./3& 3)& 2*(.*'*$".3 $/11&,"3*.( 1&,"3*/.2)*0 /' $/-/5&-&.3 #&36&&. )"1*") 1&341.2 ".% 8*&,% 201&"% '/1 3)& 3*-& )/1*9/. /' 6&&+2 %41*.( ".% '/1 )"1*") 1&341.2".% 6&&+2%41*.( '/1)"1*") 8*&,%201&"%0"*1-"*.,8*.3)&2)/1314. . 24--"18/43 '*.%*.(22)/6" 231/.($/-/5&-&.3#&36&&.)"1*") 1&341.2 ".% )&2& '*.%*.(2$/11/#/1"3&3)&1&24,321&0/13&%*."#,& *3)3)&)&,0/'6"5&,&3$/)&1&.$&".%0)"2& ".(,&6&"1&"#,&3/)*(),*()33)&#&)"5*/1/'3)&$/-/5&-&.3#&36&&.)"1*")1&341.2".% #&33&1%41*.($1*2*20&1*/%2

7. Conclusion )*2 0"0&1 "33&-032 3/ "2$&13"*. 3)& *-0"$3 /' *.5&23/1 2&.3*-&.3 2823&-"3*$ 1*2+ '"$3/12 ".% -"$1/&$/./-*$ 5"1*"#,&2 /. 3)& 1&341. /' )"1*") *.%*$&2 42*.( %"3" '1/- ". &-&1(*.( .%*". 23/$+ -"1+&3 41 2"-0,& 0&1*/% $/-01*2&2 6&&+,8 /#2&15"3*/.2 '1/- $3/#&1 3*,, &03&-#&1 &*.5&23*("3&6)&3)&11*2+#"2&%&70,"."3*/.*.3&1-2/'2823&-"3*$1*2+'"$3/12 ".% -"$1/&$/./-*$ 5"1*"#,&2 )/,%2 314& '/1 '"*3)#"2&% )"1*") *.%&7 1&341. /1 3)&1& *2 ".8 2&.3*-&.3*.%4$&% #&)"5*/1", &70,"."3*/. . 1&$&.3 8&"12 '/,,/6*.( 3)& (,/#", '*.".$*", $1*2*2 3)&1&*2".*.$1&"2*.(%&-".%'/1"."22&3$,"223/)&%(&"("*.234.01&$&%&.3&%-"1+&3-/5&-&.32 %4& 3/ *.5&23/1 2&.3*-&.3 & )80/3)&2*9& 3)"3 )"1*") 23/$+2 6/4,% )"5& ,&22 &''&$32 /' 2&.3*-&.32 %4& 3/ &3)*$", 2$1&&.*.( ".% 1&(4,"1 -/.*3/1*.( 6)*$) ,&"% 3/ ,/6 ,&5&, /' )"1%3/ 5",4& ".% %*''*$4,33/"1#*31"(& "+&1 ".% 41(,&1 01/0&13*&2 ' 3)& 2&.3*-&.3*.%4$&% *.',4&.$& /. )"1*") *.%&7 1&341. $". #& 14,&% /43 $/-0,&3&,8 3)&1& &7*232 " 1*2+#"2&% &70,"."3*/.*.3&1-2/'2823&-"3*$1*2+".%-"$1/&$/./-*$5"1*"#,&2

'$1$24+32! 2$#.-+(-$ 1 -#-.-+(-$ 1" 42 +(383$232(-#(%%$1$-33(,$2" +$2" /341$3'$$%%$"32 .% 36. 2$-3(,$-3 (-#(" 3.12 .- ' 1( ' 1$341-2 '$ 1$24+3 24&&$232 3' 3 (-5$23.1 2$-3(,$-32 1$ %%$"32'.13 -#+.-&14-1$341-2'$+.-&14-" 42 +$%%$"32%1.,2$-3(,$-33.' 1( '1$341-2 1$ ,.1$ /1.,(-$-3 %.1 ' 1( ' 1$341-2 2 3'(2 (-#$7 ' 2 23."*2 '$-"$ ,.1$ /1.-$ 3. 3'$ 2$-3(,$-3 31.-&$1 22."( 3(.- .% 1$341-2 6(3' :%$ 1; (-#(" 3.1 24&&$232 3' 3 (-5$23.12 1$2/.-# 28,,$31(" ++8 ,.1$ 3. #.6-2(#$ +.22$2 3' - 4/2(#$ & (-2 6'("' (2 #$%(-$# !8 3'$ /1.2/$"3 3'$.18 '-$, - -# 5$12*8 - - 22$3/1("(-& %1 ,$6.1* 6$ .!2$15$ 2(,(+ 1 2$-3(,$-3 $%%$"3 .- ' 1( ' (-#$7 1$341-2 %.1 !.3' 3'$ (-#("$2 '$1$%.1$ (3 (2 2 %$ 3. 224,$3' 32.,$"' 1 "3$1(23("2.%' 1( '".,/+( -"$23."*2 1$2(,(+ 13.".-5$-3(.- +23."*2 -# ,(&'3 !$ /1.-$ 3. 2$-3(,$-3 1(2* (- 3'$ 2'.1314- .6$5$1 6$ #. -.3 %(-# 2(&-(%(" -3 2$-3(,$-3 /1("(-& %3$1 ".-31.++(-& 3'$ $%%$"3 .% 2823$, 3(" 1(2* % "3.12 (- - 22$3 /1("(-& %1 ,$6.1* 2 1$24+3 ' 1( '".,/+( -"$ 23."*2 ,(&'3 341- .43 3. !$ !$33$1 '$#&$ & (-23 6 5$2.%(-5$23.12$-3(,$-3#41(-&4-/1$"$#$-3$#, 1*$3,.5$,$-32411$24+32 1$".-2(23$-3 6(3' 1$+ 3$# +(3$1 341$ %(-#(-& 3' 3 3'$ ' 1( '".,/+( -3 23."*2 3$-# 3. /$1%.1, 1$+ 3(5$+8 !$33$1 #41(-&/$1(.#2.%%(- -"( +4-"$13 (-3($2 -#"1(2$22'1 % -#.' ,, # .$3 + !$" 42$.%(32-$& 3(5$".,.5$,$-36(3'2$-3(,$-32 -#, "1.% "3.12'$1$%.1$2+ ,("%4-#2 ,(&'3 .%%$1 '$#&(-& .//.134-(3($2 & (-23 #5$12$ , 1*$3 ".-#(3(.-2 !#4++ ' $3 + $1# #$3 + 5$1 ++.411$24+321$5$ +3' 31(2*! 2$#$7/+ - 3(.-(2,.1$/1.,(-$-3%.1' 1( '(-#$71$341- !$' 5(.1 (- 3'$ ".-3$73 .% $,$1&(-& -#( - 23."* , 1*$3 '(2 234#8 1$/.132 2(&-(%(" -3 1$+ 3(.-2'(/!$36$$-, "1.5 1( !+$2 -#' 1( '(-#$71$341-2,.-&, "1.$".-.,("5 1( !+$2 "' -&$(-$7"' -&$1 3$(2%.4-#2(&-(%(" -3 "1.22 ++3(,$'.1(9.-2 -#8($+#2/1$ #(22(&-(%(" -3 .-+8(-3'$2'.1314-$' 5$-.3.!2$15$# -8" 42 +$%%$"3.%(-%+ 3(.- -#(-#$7.%(-#4231( + /1.#4"3(.-.-' 1( '1$341-2'$ 22$3/1("(-&,.#$+%1 ,$6.1*24&&$2323' 3, 1*$32(9$ -# 5 +4$% "3.12 1$/1("$#2(&-(%(" -3+8'$ +3$1- 3(5$ 22$3/1("(-&,.#$+1$5$ +23' 3.- 1(2* #)423$#! 2(2' 1( ' (-#$7" -&$-$1 3$ -$7"$221$341- Appendix 11$04$-"8(-3$1/1$3 3(.-.%2" +$+$5$+2.%#$".,/.2$#2$1($2

" +$.%#$".,/.2$#2$1($2

$$*+8%1$04$-"8 6$$*2 6$$*2 6$$*2 6$$*2

6$$*2 6$$*2

Acknowledgement )/+-478@5/.1/=2/<>998;=80#;8077/#/1>37/3<<855/08;=2/(&&-8./=8 -87.>-==2/=/<=80537/+;+7.787537/+;-+><+53=B

References: ,.>55+2+<<+7'+7. 82+6+.& 7?/<=31+=387809/;08;6+7-/80 +5+B<3+7<5+63- >73==;><=0>7.<869+;3<87@3=2-87?/7=387+5>73==;><=0>7.< +7+1/;3+537+7-/ 5,+3=B & +7. >.8; %/=>;7 9/;08;6+7-/ 837=/1;+=387 +7. <28;= ;>7 .B7+63-< 80 <5+63- +7. 787<5+63- 37.3-/< /?3./7-/ 0;86 =2/ (& +7. +5+B<3+ .>;371 =2/ <>,9;36/ -;3<3<=5+7=3-%/?3/@80-87863-<

52+C+53"/+7+7.&+6/= 8<5+63-<=8-437./A/<8>=9/;08;6-87?/7=387+5 <=8-437./A/<<=8-2+<=3-.8637+7-/+99;8+-2#+-303-+<3737+7-/8>;7+5 <2;+0+7. 82+66+. ! +=-2371 9/;-/9=387 @3=2 =2/ ;/+53=B#/;08;6+7-/ 80 <5+63- /:>3=B37?/<=6/7=<Pacific-Basin Finance Journal <3+7 /?/5896/7= +74 <5+63- 037+7-/ 08; <3+ /?/5896/7= 9;8<9/-=< +7. 37-5><3?/ 1;8@=2<3+7/?/5896/7=+74 +735+#23539937/< <2;+0 #/;08;6+7-/ /?+5>+=387 80 <5+63- 6>=>+5 0>7.< ;/5+=3?/ =8 -87?/7=387+5 0>7.< 693;3-+5 /?3./7-/ 0;86 &+>.3 ;+,3+ 7=/;7+=387+5 8>;7+5 80 <5+63- +7. 3..5/ +<=/;7 37+7-/+7. +7+1/6/7= C6+= &+535 ! &4>55B +7. ;8@7 7?/<=8;F< -283-/ 80 &2+;3+2 -86953+7= E;/953-+6/7=<Journal of Economic Behaviorand Organization, 132 D

+258>5& ;8>+ +7.!+30+;! '2/369+-=806+-;8/-87863-+7.-87?/7=387+5<=8-4 6+;4/=?+;3+,5/<87<5+63-37./A;/=>;7<>7./;;/136/<@3=-2371Borsa Istanbul Review7#;/<< 8;=286371 +4/; +7. )>;15/; &/7=36/7= +7. =2/ -;8<<;7< Journal of Finance, /726+. 8./5371 787537/+; ;+71/; -+><+53=B ,/=@//7 =2/ 835 #;3-/ +7. (& .855+; @+?/5/=,+ * )> +7. $3>+- !87537/+; ;+71/; -+><+53=B =/<= ,/=@//7 <=8-4 ;/=>;7< +7. =>+50>7.9/;08;6+7-/The Journal of finance +<2%&+7. +2+4>. 7?/<=8;;7/?3./7-/0;86 7.3+7787037+7-3+5-869+73/<Journal of Indian Business Research 2/7!%%855+7.%8<<& -87863-08;-/<+7.=2/<=8-46+;4/=<Journal of Business / 871 ;+.08;. & +@;/7-/ & +7. %8,/;= ) !83;;/7= &2+;3+2-86953+7= /:>3=B <-;//7371 9;+-=3-/< International Journal of Islamic and Middle Eastern Finance and Management /@+7.+;> %3C?3 & % +<32 % +<32 52+,<23 & " &=8-4 6+;4/= -8 68?/6/7=<<5+63-?/;<><-87?/7=387+5/:>3=B37.3-/<@3=26>5=3=36/<-+5/<+7+5B<3<-87863- &B<=/6<

+6+ +7. +-/=2 %3<4 ;/=>;7 +7. /:>353,;3>6 693;3-+5 =/<=< Journal of political economy

*6*$=8,4;.=>;7<;.*5*,=2?2=B27/5*=287*7-687.BAmerican Economic Review *6**7-;.7,1# 86687;2<4/*,=8;<27=1.;.=>;7<87<=8,4<*7-+87-
*;88:!*7-+-.5*;2 *;7270<6*7*0.6.7=+.1*?28>;8/$1*;2*1,86952*7=/2;6<*7- 787$1*;2*1,86952*7=/2;6<?2-.7,./;86=1. ;.02878>;7*58/<5*62,,,8>7=270 *7-><27.<<#.<.*;,1 18;+.5 +-.51.-2 *7- 8>3.5+.7. ( <<.<<270 =1. 269*,= 8/ ,;>-. 825 9;2,. *7- 27?.<=8;<.7=26.7=87<5*62,27-2,.<$>+9;26.,;2<2<Journal of African Business 8>9255*>-";8<<6*78;5.=B,5.8,=*?.*7-;.5*=.-=;*7<*5 ;.5*=287< +B .,8786.=;2, 68-.5< *7- ,;8<<<9.,=;*5 6.=18-<Econometrica *,4.== 8778; " $=87*@<42 $42;+.44 & "8=*7,848?D *7- +.5 %1. />=>;. 8/ @8;5- ;.520287< "89>5*=287 0;8@=1 9;83.,=287< '*<1270=87 ".@ #.<.*;,1.7=.; *668>-.1$.7<2'#.+8;.-8*7- 0>B.7 B7*62,-.9.7-.7,.8/=1. 058+*5 <5*62, .:>2=B 27-.A @2=1 058+*5 ,87?.7=287*5 .:>2=B 6*;4.= 27-2,.< *7- ;2<4 /*,=8;< "*,2/2,*<2727*7,.8>;7*5 *<<*7 *7- 2;*;- *2=1+*<.- .=12,*5 27?.<=270 %1. ,*<. 8/ 8@ 87.< <5*62, 27-.A.<>/ *7- )*6C*627 ) ".;/8;6*7,. 8/ 058+*5 <5*62, ?.;<>< ,87?.7=287*5 <1*;. 27-2,.< 7=.;7*=287*5 .?2-.7,. Pacific-Basin Finance Journal 870 *7- *,9.;,CB4 %1. 9;2,. 8/ <27 %1. .//.,=< 8/ <8,2*5 78;6< 87 6*;4.=< Journal of Financial Economics

8.97.;#*66*5*7-#.C., <5*62, 6>=>*5/>7-7=;2.< %1. >;89.*7 8>;7*5 8/ 27*7,. ><<.27 =12,*5 27?.<=6.7= .692;2,*5 .?2-.7,. /;86 %$ <5*62, 27-.A <5*62, ,87862,$=>-2.< ><<27(>1*66*-+>*7-#*C*4 %1.;.5*=287<129 [email protected] 825 9;2,. .A,1*70. ;*=. *7- <5*62, <=8,4 6*;4.= 27 *5*B<2*. Research Journal of Finance and Accounting *625 51*+<12$!*,1*!*7-*<21 .*-<@.@27=*2558<.<=1.;. .:>2=B27<5*62,.:>2=B/>7-<Pacific-Basin Finance Journal *17.6*7 %?.;<4B ";8<9.,= =1.8;B *7 *7*5B<2< 8/ -.,2<287 >7-.; ;2<4 ,8786.=;2,< >+5.; !7=1.;.0>5*=2878/<8,2*578;6<Journal of Law Economics*7-Organization >6*; *7- .. #.=*25 <.7=26.7= *7- ;.=>;7 ,868?.6.7=< The Journal of Finance .. % '12=. *7- ;*70.; ' %.<=270 /8; 7.05.,=.- 787527.*;2=B 27 =26. <.;2.< 68-.5< ,869*;2<87 8/ 7.>;*5 7.=@8;4 6.=18-< *7- *5=.;7*=2?. =.<=< 8>;7*5 8/ ,8786.=;2,< 27=7.; %1.?*5>*=2878/;2<4*<<.=<*7-=1.<.5.,=2878/;2<4B27?.<=6.7=<27<=8,498;=/8528< *7-,*92=*5+>-0.=<%1.;.?2.@8/.,87862,<*7-<=*=2<=2,< 2<=87" $27<=8,4;.=>;7<*7-27?.<=8;<.7=26.7=The Quarterly Review of Economics and Finance

,5/:@- ,9/ ,9>:@= ) >7,84. 0<@4?D 8,=60? 49?02=,?4:9 ,9/ A:7,?474?D >;477 :A0= -0?B009 080=2492 ,9/ '% >?:.6 8,=60?> &30 !:=?3 80=4.,9 :@=9,7 :1 .:9:84.> ,9/ 49,9.0 ,54/ ,9/ *@>:1 $ :92=@9 =07,?4:9>34; -0?B009 >7,84. >?:.6 =0?@=9> ,9/ 8,.=:0.:9:84. A,=4,-70> 9 ,;;74.,?4:9 :1 ?30 ,@?:=02=0>>4A0 /4>?=4-@?0/ 7,2 8:/07Humanomics

,>43 ,847 ! ,9/ ,.3, " >>@0> 49 >7,84. 0<@4?40> 74?0=,?@=0 >@=A0DEmerging Markets Finance and Trade9;=0>> 0=/,/ ,>,9 ,9/ 7309,B4 * >7,84. A0=>@> .:9A09?4:9,7 8@?@,7 1@9/> ;0=1:=8,9.049%,@/4=,-4,,.,>0>?@/D>7,84..:9:84.> 0=/,/ ,>>,9 ,9/ 4;;70= ) &30 >7,84. =4>6 1,.?:= 49 0C;0.?0/ >?:.6 =0?@=9>,908;4=4.,7>?@/D49%,@/4=,-4,Pacific-Basin Finance Journal 4770= $4>6@9.0=?,49?D,9//4A0=209.0:1:;494:9Journal of Finance I !,41,= ! : 27:-,7 =4>6 1,.?:=> ,9/ 8,.=:0.:9:84. .:9/4?4:9> ,110.? 27:-,7 >7,84. 49/0C /D9,84.><@,9?470=02=0>>4:9,;;=:,.3 The Quarterly Review of Economics and Finance !,=,D,9#!,=,D,9%#3,9&3@=,4>,8D%&=,9(& =0/4?<@,74?D48;740/ 8:809?@8;=:14?>1:=>7,84.>?:.6>Pacific Basin Finance Journal9;=0>>:=?3.:8492 "8=,9 C,849492?300110.?>:1>7,84.-07401>:9?30A,7@,?4:9:1149,9.4,749>?4?@?4:9> 49?30'94?0/=,-84=,?0>Review of Middle East Economics and Finance #F2@4904>>:770 ,9/ &0=E>A4=?, & 2090=,7 1=,80B:=6 1:= ?0>?492 ?30 =,920= 9:9.,@>,74?D3D;:?30>4>%?:.63:78%.3::7:1.:9:84.>):=6492#,;0=%0=40>49.:9:84.> ,9/49,9.0 #02@4904>>:770%?=463:78&0=,>A4=?,& &0>?492?30=,920=9:9.,@>,74?D3D;:?30>4> 49>?,?4:9,=D9:97490,=8:/07>:1@969:B91@9.?4:9,71:=8$&%$0>0,=.3#,;0= ,=3@>'94A0=>4?D,=3@>098,=6 #=4.0B,?0=3:@>0::;0=> %3,=4,3.:8;74,9? 1@9/> B3:70 90B B:=7/ :1 49A0>?809? A,47,-70 ,? 3??;>BBB;B..:82C09149,9.4,7>0=A4.0>4>7,84.149,9.0 ;=:2=,880,>>0?>>3,=4,3.:8;74,9?1@9/>;/1 %.3807492 %09?4809?,9/>?:.6=0?@=9>>:8049?0=9,?4:9,70A4/09.0Journal of Empirical Finance I %3,=;0) ,;4?,7,>>0?;=4.0>?30:=D:18,=60?0<@474-=4@8@9/0=.:9/4?4:9>:1=4>6&30 Journal of Finance

%370410=,9/(4>39D$ &307484?>:1,=-4?=,20Journal of Finance

%3,8>@//49 =0:B:90>>7,84.0<@4?D49/4.0>0C;:>0/?:49?0=0>?=,?0=4>6Economic Modelling39 %8,70> &3048;:=?,9.0:110,=49A0>?:=>09?4809?,9/>?:.68,=60?=0?@=9>;;740/ .:9:84.> &3:=-0.60) "9>?:.68,=60?=0?@=9>,9/8:90?,=D;:74.DJournal of Finance I &4B,=4,=,9/3,95,! "47;=4.0,9/0C.3,920=,?0>,B,A070?-,>0/,9,7D>4> 1:=9/4,Economic Modelling

&:==09.0,9/:8;:# ;=,.?4.,72@4/0?:B,A070?,9,7D>4>@770?49:1?3080=4.,9 0?0:=:7:24.,7>:.40?D '77,3%,8,74,9/,=B::/ %:.4,77D=0>;:9>4-7049A0>?809?49>423?>1=:8%3,=4,3 /0;,=?809?>49>7,84.149,9.4,749>?4?@?4:9> Business Ethics: A European Review

+,==:@6 &30=:70:1>7,84.149,9.049,.340A492>@>?,49,-70/0A07:;809?Development Finance Agenda

Does Shariah index hedge against sentiment risk? Evidence from Indian stock market using time–frequency domain approach

Does Shariah index hedge against sentiment risk? Evidence from Indian stock market using time–frequency domain approach

Recommend Documents