earticle

영어

In this paper, we aim to examine the characteristics of daily return spillovers of Dow Jones Islamic Market Indices with a focus on China. We use the generalized spillover definition and measurement proposed by Diebold and Yilmaz (2012), and rolling sample analysis. In static full-sample analysis, we find that 57.6% of forecast error variance comes from return spillovers. In time-varying rolling-sample analysis, we come up with striking evidence of divergent behavior in the dynamics of return spillovers. The total return spillovers in our paper does not show similar patterns observed in Diebold and Yilmaz (2012) and Yang and Chang (2014), especially during the reform of difference of stockholders’ rights in China (2005-2007) and the US Credit Crisis (2007-2008). The seemingly decoupling movement of total return index implies that the inclusion of DJIM indices in constructing global portfolios can help significantly increase the diversification benefit.