Testing the contagion between conventional and Shari'ah-compliant stock indexes: a multi country study using wavelet analysis
This study is motivated by the desire to test empirically whether the contagion seen in conventional stock indexes are also present amongst Sharia'ah-compliant stock indexes. This study is the first attempt at testing whether there has been any contagion among the Shari'ah-compliant stock indexes during the most recent international financial crisis - the US subprime crisis of 2007-2009. The study uses a technique known as the "wavelet approach" which has been very recently imported to finance from engineering sciences ...
Contagion , Shari'ah compliant stock index , Conventional stock index , Cointegration test , Wavelet correlation , Wavelet-cross-correlation , Wavelet coherence , DCC-MGARCH
Saiti, B. (2012). Testing the contagion between conventional and Shari'ah-compliant stock indexes: a multi country study using wavelet analysis (Doctoral dissertation). INCEIF, Kuala Lumpur. Retrieved from https://ikr.inceif.org/handle/INCEIF/2394