Spillovers and the determinants in Islamic equity markets

We investigate pair-wise, net and total return and volatility spillovers across 15 Islamic equity markets from widely dispersed locations. Using the generalized VAR-based spillovers index between 2007 and 2017, we find increasing interactions in return and volatility spillovers while the extent of spillovers has been asymmetric across the countries. Interestingly, we find the presence of persistent clustering of spillovers (viz., Qatar - UAE -...