Dynamic connectedness and spillovers between Islamic and conventional stock markets: time- and frequency-domain approach in COVID-19 era.

ABSTRACT: This study investigates the dynamic connectedness and spillovers between Islamic and conventional stock markets to reveal the time- and frequency-domain dynamics of the two asset classes under various market conditions. Using the spillover index of Baruník and Křehlík (2018), supplemented by the time-varying parameter vector autoregressions (TVP-VAR) connectedness model, we employ daily stock market indices for Islamic and conventional (G7) markets from November 23, 2015, to September 8, 2021. The findings explicate that the volatility spillovers across and within Islamic and/or G7 markets are time-varying and frequency-dependent but during market turbulences, the conventional stocks are prone to more volatilities than the Islamic stocks. Our findings additionally divulge contagious spillo

SUBMITTER: Bossman A 

PROVIDER: S-EPMC8991294 | biostudies-literature | 2022 Apr

REPOSITORIES: biostudies-literature