Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis
This study is a first attempt at testing the extent of contagion for conventional and Shari’ahcompliant 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 evide...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English English English |
| Published: |
Taylor & Francis
2016
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/44888/ http://irep.iium.edu.my/44888/ http://irep.iium.edu.my/44888/ http://irep.iium.edu.my/44888/4/44888.pdf http://irep.iium.edu.my/44888/9/44888_Testing%20the%20conventional%20and%20Islamic%20financial%20market_WOS.pdf http://irep.iium.edu.my/44888/10/44888_Testing%20the%20conventional%20and%20Islamic%20financial%20market_SCOPUS.pdf |
| Summary: | This study is a first attempt at testing the extent of contagion for conventional and Shari’ahcompliant
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 Shariah-compliant indices mostly do not show evidence of contagion. 10
Collectively, our results have important implications for fund managers in terms of asset allocation risk and
policymakers seeking an optimal policy response to crises. |
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