Description
Presented Paper Title: Relationship between Islamic and conventional stock markets: Empirical investigation of Developed, Emerging and Frontier marketsAbstract:
This study comprises the assessment of relationship between Islamic and conventional stock markets using both market level and industry level data for a set of Developed, Frontier and Emerging countries using MSCI index. While, this study will evaluate the validity Decoupling hypothesis and recoupling hypothesis by incorporating several market characteristics such as Spillover, Contagion, Volatility transmissions, integration between markets and industries level. Moreover, this study will include influential country specific micro and macro-economic variables such VIX index, 10-year treasury yield, WTI oil spot price, TED spread, GDP, Inflation etc. for apprising their effect on stock market co-movements among markets and industry level. The Decoupling Hypothesis for market and industry level will be tested using VAR- based volatility index, GARCH family model and econometric approaches for the data set from 2000-2018. Furthermore, this study will include the effects of financial crisis events and crashes in different time periods for the robustness of results by dividing data into different panels. In addition to that this research will be further extended to see how this relationship might affect due to investors sentiments and trade intensity. Later on, volatility Forecasting element can be incorporated in the research and give predictions on that basis.
Period | 9 Sept 2019 → 10 Sept 2019 |
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Event type | Conference |
Location | Coventry, United KingdomShow on map |
Degree of Recognition | International |