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Global financial shocks and stock market co-movements: an analysis of correlations of Islamic stock markets

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Date
2017
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Abstract
The study investigates the impact of the global financial shocks on the correlations between the stock market and interest rate on the one hand and that between conventional and Islamic stocks on the other. The countries investigated are Malaysia, Indonesia, the U.S., Japan, the U.K., Kuwait, Saudi Arabia, Qatar with the sample period from December 2004 to December 2012. Changes in correlations for different time scales or investment horizons levels with wavelet analysis were tested. It was found that correlations among Islamic and conventional stock markets in non-shock periods tend to be ...
Keywords
Global financial shocks , Islamic stocks , Interest rates
Citation
Siti Zulaikha. (2017). Global financial shocks and stock market co-movements: an analysis of correlations of Islamic stock markets (Doctoral dissertation). INCEIF, Kuala Lumpur. Retrieved from https://ikr.inceif.org/handle/INCEIF/2774
Publisher
INCEIF

Available in physical copy and downloadable format (Call Number: t HG 4661 S623)

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