Are Islamic stocks immune from financial crises? Evidence from contagion tests

Kamrul Hassan, Ariful Hoque, Dominic Gasbarro and Wing-Keung Wong

International Review of Economics & Finance, 2023, vol. 86, issue C, 919-948

Abstract: Given the alleged uniqueness of Islamic stocks, it is expected that they should provide insurance when faced with adverse market conditions. This expectation is tested by assessing contagion, using 25 Islamic indexes during the period 2007–2017, by employing contemporary econometric techniques. The results reveal robust contagion effects of the financial crisis on Islamic stock indexes. Furthermore, we find Baker and Wurgler’s investor sentiment can predict Islamic stock returns during the crisis period. Our findings indicate that Islamic stocks cannot be used as a haven asset during financial turmoil.

Keywords: Islamic indexes; Global financial crisis; Contagion; Higher-order moments (search for similar items in EconPapers)
JEL-codes: C32 C58 G1 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:86:y:2023:i:c:p:919-948

DOI: 10.1016/j.iref.2020.08.004

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