Economics at your fingertips  

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities

Zaghum Umar () and Tahir Suleman ()
Additional contact information
Zaghum Umar: Suleman Dawood School of Business, Lahore University of Management Sciences Sector U, DHA, Lahore Cantt. 54792, Pakistan

Risks, 2017, vol. 5, issue 2, 1-18

Abstract: Abstract : This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion effect. We analyse the intra-market and inter-market spillover among Islamic and conventional equities across three major markets: the USA, the United Kingdom and Japan. Our sample period ranges from 1996 to 2015. In addition, we segregate our sample period into three sub-periods covering prior to the 2007 financial crisis, the crisis period and the post-crisis period. We find weak support for the decoupling hypothesis during the post-crisis period.

Keywords: Islamic stock market; conventional stock markets; asymmetric return and volatility spillovers; EGARCH (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 M2 M4 K2 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Risks is currently edited by Prof. Dr. J. David Cummins

More articles in Risks from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

Page updated 2019-11-07
Handle: RePEc:gam:jrisks:v:5:y:2017:i:2:p:22-:d:94407