Contagion Effects on Stock Market of Bangladesh: An Empirical Study on Dhaka Stock Exchange Shariah (DSES) Index

Mohammad Ashraful Chowdhury, Md. Mahmudul Haque () and Md. Nazrul Islam
Additional contact information
Md. Nazrul Islam: Department of Business Administration, Shahjalal University of Science and Technology, Sylhet, Bangladesh

International Journal of Asian Business and Information Management (IJABIM), 2017, vol. 8, issue 2, 1-14

Abstract: Due to increased globalization and economic integration in the global economy, contagion effects have been considered an important matter for the investors and policymakers. In the wake of the global financial crisis of September 2008, Islamic financial products were thrust into the spotlight as alternatives to the shaken conventional equity markets. The objective of this study is to discover the Islamic stock market dynamics of Bangladesh with the global Islamic stock markets such as Saudi Arabia, UAE, Kuwait, Europe, UK and Japan. For understanding long run relationship or the theoretical relationships among the Islamic stock market and short run co-movements among Islamic stocks, Johansen co-integration test and Vector Error Correction model (VECM) have been applied respectively. Furthermore, the investigation on short run dynamics is also carried through Impulse Response Function (IRF) analyses. The study found that the Japanese Islamic Stock market is affected to changes in other Islamic stock markets while Kuwait stock market is the leader in the sense it affects other stock market greatly. Bangladeshi Islamic stock market is found to be marginally affecting other stock markets but not as strong as Kuwait. Global Islamic stock market seems to have very little impact to Bangladesh Islamic stock market. The evidence of co-integration and short run dynamics help a diversification benefit may be derived from the cross boarder investment. The empirical evidence of co-integration and short run dynamic relationship found in this study will help investors in making efficient investment decisions and also enhance their understanding of market behavior.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://services.igi-global.com/resolvedoi/resolve. ... 18/IJABIM.2017040101 (application/pdf)

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: https://EconPapers.repec.org/RePEc:igg:jabim0:v:8:y:2017:i:2:p:1-14

Access Statistics for this article

International Journal of Asian Business and Information Management (IJABIM) is currently edited by Patricia Ordóñez de Pablos

More articles in International Journal of Asian Business and Information Management (IJABIM) from IGI Global
Bibliographic data for series maintained by Journal Editor ().