Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities

Zaghum Umar · Muhammad Tahir Suleman

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Financial Risk and Volatility Modeling Islamic Finance and Banking Studies Market Dynamics and Volatility

Abstract

Abstract: This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion effect. We analyse the intra-market and inter-market spillover among Islamic and conventional equities across three major markets: the USA, the United Kingdom and Japan. Our sample period ranges from 1996 to 2015. In addition, we segregate our sample period into three sub-periods covering prior to the 2007 financial crisis, the crisis period and the post-crisis period. We find weak support for the decoupling hypothesis during the post-crisis period.

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1992ARCH modeling in finance 1995Asymmetric volatility transmission in international stock markets 2013Performance of global Islamic versus conventional share indices: International evidence 2013Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach 2014Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors 1996MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS 2014Islamic equity market integration and volatility spillover between emerging and US stock markets

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