Stock Market Co-movement and Shock Transmission: Islamic versus Conventional Equity Indices
作者： Ginanjar Dewandaru , AbdelKader Alaoui , Mansur Masih , Obiyathulla Bacha
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摘要: Our study measures co-movements in Islamic and conventional equity markets, to discover contagion measure integration level. We apply wavelet decomposition unveil the multi-horizon nature of co-movement. find that subprime crisis generates fundamental-based for both markets. The less exposure some indices can be due low leverage effect exclusion financial stocks. also higher fundamental attributable their allocation related real sector. Finally, we show a leading role LIBOR negatively over long run.
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