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Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis

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dc.contributor.authorBuerhan Saiti
dc.contributor.authorAbul Mansur Mohammed Masih
dc.contributor.authorObiyathulla Ismath Bacha
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T19:25:45Z
dc.date.available2016-06-06
dc.date.available2016-07-25T19:25:45Z
dc.date.disclosure2016-06-10
dc.date.issued2015
dc.description.abstractThis study is a first attempt at testing the extent of contagion for conventional and Shari’ah-compliant stock indices. We examine the period surrounding the U.S. subprime crisis of 2007–9 and the Lehman Brothers collapse of 2008 to determine the relative extent of contagion. We find no clear evidence of contagion during the subprime crisis however, during the Lehman collapse most conventional indices showed contagion. Interestingly, the Shari’ah-compliant indices mostly do not show evidence of contagion. Collectively, our results have important implications for fund managers in terms of asset allocation risk and policymakers seeking an optimal policy response to crises.
dc.identifier.citationSaiti, B., Bacha, O. I., & Mohammed Masih, A. M. (2015). Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis. Emerging Markets Finance and Trade, 51(8), pp. 1-18.
dc.identifier.doihttps://doi.org/10.1080/1540496X.2015.1087784
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/1311
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge
dc.rights2015. Routledge
dc.sourceCRP
dc.subjectContagion
dc.subjectConventional compliant stock markets
dc.subjectShari’ah-compliant stock markets
dc.subjectInterdependence
dc.subjectWavelet coherence
dc.subjectWavelet correlation
dc.subjectWavelet time-frequency decompositions
dc.titleTesting the conventional and Islamic financial market contagion: evidence from wavelet analysis
dc.typeJournal Article
dlc.maintopicIslamic capital markets
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital markets
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