Islamic financial markets and global crises: Contagion or decoupling?

Kenourgios, Dimitris and Naifar, Nader and Dimitriou, Dimitrios,(2016), Islamic financial markets and global crises: Contagion or decoupling? , Economic Modelling, UNSPECIFIED

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This paper investigates the contagion effects of the global financial crisis (GFC) and Eurozone sovereign debt crisis (ESDC) on Islamic equity and bond markets. Using a sample of Islamic stock indices from various developed and emergingmarkets and the global Islamic stock and bond (sukuk) indices,we explore asymmetric conditional correlation dynamics across stable and crisis periods and across the two crises. The results fail to provide strong contagion evidence between conventional and Islamic equity and bond indices, supporting the decoupling hypothesis of the Islamic securities. Our findings imply that Islamic equities and bonds may provide a cushion against risk and instability, particularly in periods of turmoil. The small number of contagion casesmostly relates to the ESDC and developed Islamic stock indices. The findings also showthat the Islamicemerging stock indices in the BRICS provide the most effective international portfolio diversification benefits compared to the Islamic developed indices.
Keywords : Islamic finance; Financial contagion; Global financial crisis; Eurozone sovereign debt crisis; Dynamic conditional correlation, UNSPECIFIED
Journal or Publication Title: Economic Modelling
Volume: 57
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Heru Prastyo
Date Deposited: 23 Dec 2019 05:52
Last Modified: 23 Dec 2019 05:52

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