Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis
This study is a first attempt at testing the extent of contagion for conventional and Shari’ahcompliant 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 evide...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English English English |
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Taylor & Francis
2016
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| Online Access: | http://irep.iium.edu.my/44888/ http://irep.iium.edu.my/44888/4/44888.pdf http://irep.iium.edu.my/44888/9/44888_Testing%20the%20conventional%20and%20Islamic%20financial%20market_WOS.pdf http://irep.iium.edu.my/44888/10/44888_Testing%20the%20conventional%20and%20Islamic%20financial%20market_SCOPUS.pdf |
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| author | Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur |
| author_facet | Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur |
| author_sort | Saiti, Buerhan |
| building | IIUM Repository |
| collection | Online Access |
| description | This study is a first attempt at testing the extent of contagion for conventional and Shari’ahcompliant
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 Shariah-compliant indices mostly do not show evidence of contagion. 10
Collectively, our results have important implications for fund managers in terms of asset allocation risk and
policymakers seeking an optimal policy response to crises. |
| first_indexed | 2025-11-14T16:09:24Z |
| format | Article |
| id | iium-44888 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English English |
| last_indexed | 2025-11-14T16:09:24Z |
| publishDate | 2016 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-448882016-12-22T02:20:44Z http://irep.iium.edu.my/44888/ Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur HG4501 Stocks, investment, speculation This study is a first attempt at testing the extent of contagion for conventional and Shari’ahcompliant 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 Shariah-compliant indices mostly do not show evidence of contagion. 10 Collectively, our results have important implications for fund managers in terms of asset allocation risk and policymakers seeking an optimal policy response to crises. Taylor & Francis 2016 Article PeerReviewed application/pdf en http://irep.iium.edu.my/44888/4/44888.pdf application/pdf en http://irep.iium.edu.my/44888/9/44888_Testing%20the%20conventional%20and%20Islamic%20financial%20market_WOS.pdf application/pdf en http://irep.iium.edu.my/44888/10/44888_Testing%20the%20conventional%20and%20Islamic%20financial%20market_SCOPUS.pdf Saiti, Buerhan and Bacha, Obiyathulla Ismath and Masih, Mansur (2016) Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis. Emerging Markets Finance and Trade, 52 (8). pp. 1832-1849. ISSN 1540-496X E-ISSN 1558-0938 http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1087784?journalCode=mree20 10.1080/1540496X.2015.1087784 |
| spellingShingle | HG4501 Stocks, investment, speculation Saiti, Buerhan Bacha, Obiyathulla Ismath Masih, Mansur Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis |
| title | Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis |
| title_full | Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis |
| title_fullStr | Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis |
| title_full_unstemmed | Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis |
| title_short | Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis |
| title_sort | testing the conventional and islamic financial market contagion: evidence from wavelet analysis |
| topic | HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/44888/ http://irep.iium.edu.my/44888/ http://irep.iium.edu.my/44888/ http://irep.iium.edu.my/44888/4/44888.pdf http://irep.iium.edu.my/44888/9/44888_Testing%20the%20conventional%20and%20Islamic%20financial%20market_WOS.pdf http://irep.iium.edu.my/44888/10/44888_Testing%20the%20conventional%20and%20Islamic%20financial%20market_SCOPUS.pdf |