Contagion Analysis of Islamic Financial assets: A DCC-GARCH approach
Yassine Essanaani
Broschiertes Buch

Contagion Analysis of Islamic Financial assets: A DCC-GARCH approach

How the financial crisis affected Islamic and Conventional indexes: A Comparative Study

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This paper investigates the differences in the contagion effects between the conventional and the Islamic Dow Jones stock indices relative to U.K, Canada, U.S, Japan and Malaysia, during the U.S. subprime crisis. To test for contagion the very restrictive definition is used. These findings are relevant to understand the vulnerability of the financial markets. However, the results might be relevant for central banks and policy makers to promote financial stability, and contain contagion risk during periods of crisis, given their serious economic and social effects on the global economy. For int...