We examine the relationship between Islamic and conventional stock market returns to see if Islamic financial markets provide portfolio diversification benefits and safe havens during turbulent times. Using daily data from January 1996 through September 2020 we consider conventional emerging...

This paper investigates the occurrence of dependency between foreign exchange markets and stock markets in emerging market (EM) countries by testing volatility spillovers of asset returns using a BEKK GARCH (1,1) model. The author modifies the classical BEKK GARCH model in order to study the...