Volatility Spillover between Islamic and conventional stock markets: evidence from Quantile Regression analysis
Aymen Ben Rejeb ()
MPRA Paper from University Library of Munich, Germany
The main objective of this article is to analyze the interdependencies in terms of volatility (transmission, contagion) between conventional stock markets and their Islamic counterparts currently considered as a new investment alternative, in calm periods and in times of financial fragility and crisis. We use updated data including the recent financial instability periods and a relevant methodology recently used in this context based on the Quantile Regression-based GARCH model. The article 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 stock markets to the Islamic ones, especially, from the conventional Developed markets to the Islamic Emerging and Arab markets and to Islamic Developed markets. Finally, it has been proved that the interdependencies from conventional to Islamic markets are propagated between Islamic markets. Our findings thus suggest that the Islamic finance industry does not seem to be able to provide a good cushion against the economic and financial shocks affecting conventional markets.
Keywords: Quantile Regressions; financial fragility; Subprime crisis; Islamic stock markets; conventional stock markets (search for similar items in EconPapers)
JEL-codes: C5 G1 (search for similar items in EconPapers)
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