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On the volatility spillover between lslamic and conventional stock markets: A quantile regression analysis

Aymen Ben Rejeb ()

Research in International Business and Finance, 2017, vol. 42, issue C, 794-815

Abstract: This paper aims at analyzing the degree and structure of interdependencies in terms of volatility (transmission, contagion) between Islamic and conventional stock markets on calm periods and at times of financial fragility and crisis. We focused on the recent financial instability periods and used the Quantile Regression-based GARCH model. Main results lead to very interesting conclusions. First, it has been found that Islamic stock markets are not totally immune to the global financial crisis. Second, a very strong interdependence is sensed from the conventional to the Islamic stock markets, especially, from the conventional developed markets to the Islamic Emerging and Arab markets and to the Islamic developed markets. Finally, it has been proved that the interdependencies from conventional to Islamic markets are propagated between Islamic markets. Our findings suggest that the Islamic finance industry does not seem able to provide cushion against economic and financial shocks that affect conventional markets.

Keywords: Quantile regression; Financial fragility; Subprime crisis; Islamic stock markets; Conventional stock markets (search for similar items in EconPapers)
JEL-codes: F15 C32 C58 G1 (search for similar items in EconPapers)
Date: 2017
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