Are Islamic stock markets immune from contagion during the financial crisis?

• Main Authors: Zhang, Hengchao, Mohamad, Azhar, Hamid, Zarinah
• Format: Article
• Language: English; English
• Published: 2021
• Subjects: HB3711 Business cycles. Economic fluctuations; HG3368 Islamic Banking and Finance; HG4001 Financial management. Business finance. Corporation finance.
• Online Access: http://irep.iium.edu.my/94051/1/JECD-Contagion%20-%20ART20121601%20%28final-formated%29.pdf; http://irep.iium.edu.my/94051/7/Copyright%20JECD-Contagion%20-%20ART20121601.pdf; http://irep.iium.edu.my/94051/

We assess the contagion effect of the global financial crisis (GFC) and the European debt crisis (EDC) on Islamic and conventional stock market indices of the US, GCC and Malaysia. We run the asymmetric dynamic conditional correlation GARCH specification on daily closing prices of relevant indice...