The impacts of country-based and global financial factors on conventional as well as Islamic stock market returns of BRIC and G7 countries: MMQR approach

In this thesis the impacts of country-based and global financial factors on conventional and Islamic stock market return of the emerging (BRIC) and developed (G7) countries is investigated. We apply a novel method of moment quantile regression (MMQR) using daily data from March 26, 2015 to March 31, 2021 for BRIC countries and July 27, 2015 to March 31, 2021 for G7 countries. The first essay investigates the impacts of country-based and global factors on conventional stock returns in BRIC and G7 countries using the method of moment quantile approach. The study reveals that country-based and global factors have significant impact on conventional stock market return in BRIC and G7 in different market circumstances such as bear, normal and bull. The findings also indicate that stock market returns are asymmetrically affected by country-based and global financial factors. The second essay evaluates the impacts of country-based and global factors effect on Islamic stock returns in BRIC and G7 countries using MMQR approach. The findings suggest that there are diversification benefits between the country groups in different market phases. The consequences of our findings have important implications for international investors, market players, policymakers, and monetary authorities, specially who are in charge of maintaining the stability of the domestic as well as international economies and financial markets.