Description
Presented Paper Title: Contagion between Islamic and Conventional Indices: Sectoral Level EvidenceAbstract
This study examines the contagion effect between Islamic and conventional indices from oil importing and exporting country-specific sectoral indices by using the multivariate ADCC-GARCH model. Our findings indicate that the majority of oil-importing Islamic sectors do not provide evidence of contagion during the Global Financial Crisis period as compared to their conventional counterparts. In contrast, the Islamic sectors from oil importing and exporting
countries provide a heterogeneous pattern of results during European Sovereign Debt Crisis and Oil Crisis periods. Though the Islamic and conventional sectoral markets in the US and Asian and some European equities remained non-contagious from oil price shock during European Sovereign Debt Crisis regimes, a heterogeneous set of findings regarding asymmetries among Islamic and conventional sectors during different crisis periods are observed. The results also suggest that Islamic indices hold the decoupling hypothesis on the sectoral level.
| Period | 1 Aug 2022 → 3 Aug 2022 |
|---|---|
| Event type | Conference |
| Location | Turin, ItalyShow on map |
| Degree of Recognition | International |