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Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis

Buerhan Saiti, Obiyathulla Bacha and Abul Masih
Authors registered in the RePEc Author Service: Burhan Uluyol

Emerging Markets Finance and Trade, 2016, vol. 52, issue 8, 1832-1849

Abstract: This study is a first attempt at testing the extent of contagion for conventional and Shari’ah-compliant 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 Shari’ah-compliant indices mostly do not show evidence of contagion. Collectively, our results have important implications for fund managers in terms of asset allocation risk and policymakers seeking an optimal policy response to crises.

Date: 2016
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Citations: View citations in EconPapers (34)

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Working Paper: Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis (2014) Downloads
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DOI: 10.1080/1540496X.2015.1087784

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