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...

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Main Authors:	Saiti, Buerhan, Bacha, Obiyathulla Ismath, Masih, Mansur
Format:	Article
Language:	English English English
Published:	Taylor & Francis 2016
Subjects:	HG4501 Stocks, investment, speculation
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

id	iium-44888
recordtype	eprints
spelling	iium-448882016-12-22T02:20:44Z http://irep.iium.edu.my/44888/ Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur HG4501 Stocks, investment, speculation 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. Taylor & Francis 2016 Article PeerReviewed application/pdf en http://irep.iium.edu.my/44888/4/44888.pdf application/pdf en http://irep.iium.edu.my/44888/9/44888_Testing%20the%20conventional%20and%20Islamic%20financial%20market_WOS.pdf application/pdf en http://irep.iium.edu.my/44888/10/44888_Testing%20the%20conventional%20and%20Islamic%20financial%20market_SCOPUS.pdf Saiti, Buerhan and Bacha, Obiyathulla Ismath and Masih, Mansur (2016) Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis. Emerging Markets Finance and Trade, 52 (8). pp. 1832-1849. ISSN 1540-496X E-ISSN 1558-0938 http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1087784?journalCode=mree20 10.1080/1540496X.2015.1087784
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis
description	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.
format	Article
author	Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur
author_facet	Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur
author_sort	Saiti, Buerhan
title	Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis
title_short	Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis
title_full	Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis
title_fullStr	Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis
title_full_unstemmed	Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis
title_sort	testing the conventional and islamic financial market contagion: evidence from wavelet analysis
publisher	Taylor & Francis
publishDate	2016
url	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
first_indexed	2023-09-18T21:03:50Z
last_indexed	2023-09-18T21:03:50Z
_version_	1777410801099866112

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

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