Table 8 Effects of the financial...

Table 8

Effects of the financial variables on Islamic stock returns of G7 countries

Dep. Var ISLAMIC _RET	Location	Scale	Quantile level
	Location	Scale	0.1	0.2	0.3	0.4	0.5	0.6	0.7	0.8	0.9	OLS
CDS_ret	−0.086***	0.016***	−0.117***	−0.105***	−0.097***	−0.090***	−0.084***	−0.080***	−0.075***	−0.069***	−0.060***	−0.084***
	−16.65	4.37	−10.99	−12.73	−14.33	−15.89	−16.92	−17.3	−16.84	−14.74	−10.89	−21.02
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
BONDY_ret	0.005**	−0.003	0.012**	0.009**	0.008**	0.006**	0.005*	0.004*	0.003	0.002	0.000	0.002**
	1.9	−1.59	1.98	2.03	2.04	1.98	1.86	1.66	1.32	0.76	0.09	2.03
	0.057	0.111	0.048	0.042	0.042	0.047	0.063	0.097	0.188	0.447	0.932	0.043
E/R_ret	−0.261***	−0.018	−0.22***	−0.24***	−0.24***	−0.25***	−0.26***	−0.26***	−0.27***	−0.27***	−0.28***	−0.254***
	−7.11	9.72	−10.56	−10.13	−5.55	−6.84	−7.92	−8.69	−9.21	−9.04	−7.86	−8.88
	0.000	0.476	0.001	0.000	0.000	0.000	0.000	0.000	0.002	0.003	0.003	0.000
USCDS_ret	0.384***	−0.002	0.389***	0.387***	0.386***	0.385***	0.384***	0.383***	0.383***	0.382***	0.381***	0.382***
	27.89	−0.23	13.67	17.57	21.38	25.52	28.82	31.03	32.16	30.73	25.79	36.66
	0.000	0.818	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
MSCIW_ret	1.546***	−0.081***	1.695***	1.637***	1.598***	1.564***	1.539***	1.518***	1.494***	1.463***	1.423***	1.521***
	64.73	−4.54	34.46	42.97	51.14	59.9	66.7	70.93	72.43	67.85	55.61	37.38
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
VIX_ret	0.029***	−0.044***	0.110***	0.079***	0.057***	0.039***	0.025***	0.013***	0.000	−0.015***	−0.038***	−0.029***
	6.59	−13.28	12.19	11.24	9.96	8.1	5.92	3.48	0.21	−3.92	−7.96	−21.79
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.83	0.000	0.000	0.000
OVX_ret	−0.073***	0.025***	−0.120***	−0.102***	−0.090***	−0.079***	−0.071***	−0.064***	−0.057***	−0.047***	−0.035***	−0.080***
	−10.31	4.75	−8.17	−8.96	−9.62	−10.16	−10.34	−10.12	−9.29	−7.4	−4.58	−22.62
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
C	−12.61***	3.88***	−13.78***	−13.33***	−13.02***	−12.75***	−12.55***	−12.39***	−12.20***	−11.96***	−11.64***	−12.39***
	−57.29	9.41	−30.39	−37.93	−45.2	−52.98	−59.01	−62.8	−64.18	−60.19	−49.36	−31.6
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000

Dep. VarISLAMIC_RET	Location	Scale	Quantile level
	Location	Scale	0.1	0.2	0.3	0.4	0.5	0.6	0.7	0.8	0.9	OLS
CDS_ret	−0.086***	0.016***	−0.117***	−0.105***	−0.097***	−0.090***	−0.084***	−0.080***	−0.075***	−0.069***	−0.060***	−0.084***
	−16.65	4.37	−10.99	−12.73	−14.33	−15.89	−16.92	−17.3	−16.84	−14.74	−10.89	−21.02
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
BONDY_ret	0.005**	−0.003	0.012**	0.009**	0.008**	0.006**	0.005*	0.004*	0.003	0.002	0.000	0.002**
	1.9	−1.59	1.98	2.03	2.04	1.98	1.86	1.66	1.32	0.76	0.09	2.03
	0.057	0.111	0.048	0.042	0.042	0.047	0.063	0.097	0.188	0.447	0.932	0.043
E/R_ret	−0.261***	−0.018	−0.22***	−0.24***	−0.24***	−0.25***	−0.26***	−0.26***	−0.27***	−0.27***	−0.28***	−0.254***
	−7.11	9.72	−10.56	−10.13	−5.55	−6.84	−7.92	−8.69	−9.21	−9.04	−7.86	−8.88
	0.000	0.476	0.001	0.000	0.000	0.000	0.000	0.000	0.002	0.003	0.003	0.000
USCDS_ret	0.384***	−0.002	0.389***	0.387***	0.386***	0.385***	0.384***	0.383***	0.383***	0.382***	0.381***	0.382***
	27.89	−0.23	13.67	17.57	21.38	25.52	28.82	31.03	32.16	30.73	25.79	36.66
	0.000	0.818	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
MSCIW_ret	1.546***	−0.081***	1.695***	1.637***	1.598***	1.564***	1.539***	1.518***	1.494***	1.463***	1.423***	1.521***
	64.73	−4.54	34.46	42.97	51.14	59.9	66.7	70.93	72.43	67.85	55.61	37.38
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
VIX_ret	0.029***	−0.044***	0.110***	0.079***	0.057***	0.039***	0.025***	0.013***	0.000	−0.015***	−0.038***	−0.029***
	6.59	−13.28	12.19	11.24	9.96	8.1	5.92	3.48	0.21	−3.92	−7.96	−21.79
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.83	0.000	0.000	0.000
OVX_ret	−0.073***	0.025***	−0.120***	−0.102***	−0.090***	−0.079***	−0.071***	−0.064***	−0.057***	−0.047***	−0.035***	−0.080***
	−10.31	4.75	−8.17	−8.96	−9.62	−10.16	−10.34	−10.12	−9.29	−7.4	−4.58	−22.62
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
C	−12.61***	3.88***	−13.78***	−13.33***	−13.02***	−12.75***	−12.55***	−12.39***	−12.20***	−11.96***	−11.64***	−12.39***
	−57.29	9.41	−30.39	−37.93	−45.2	−52.98	−59.01	−62.8	−64.18	−60.19	−49.36	−31.6
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000

Note(s): ***, **, * shows 1%, 5%, 10% level of significance

Source(s): Created by the authors

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