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

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

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Abstract

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.

Item Type: Article (Journal)
Additional Information: 7451/44888
Uncontrolled Keywords: contagion, conventional compliant stock markets, Shari’ah-compliant stock markets, interdependence, wavelet coherence, wavelet correlation, wavelet time-frequency decompositions
Subjects: H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Institute of Islamic Banking & Finance (IIiBF)
Depositing User: ASSOC PROF DR BUERHAN SAITI
Date Deposited: 24 Nov 2015 09:14
Last Modified: 22 Dec 2016 10:20
URI: http://irep.iium.edu.my/id/eprint/44888

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