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Return volatilities and contagion transmission between Islamic and conventional bankers throughout the subprime crisis : evidence from the DCC-MGARCH model
Fakhfekh, Mohamed; Hachicha, Nejib - In: International journal of managerial and financial accounting 6 (2014) 2, pp. 133-145
Persistent link: https://www.econbiz.de/10010483052
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Islamic Banks’ Resilience During the 2008 Financial Crisis : Modeling Long-Memory Volatilities with Leverage Effect
Mohamed, Fakhfekh - 2016
This paper determines whether volatility shocks are more prevalent among conventional banks than Islamic banks. It … (FIEGARCH) model in modeling volatility. This allows considering a direct shock-persistence as well as shocks' asymmetric effect … May 15, 2013 and the results indicate that the impact of shocks is more spread among conventional banks' volatility …
Persistent link: https://www.econbiz.de/10012991653
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Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? : a quantile regression approach
Naifar, Nader - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 29-39
Persistent link: https://www.econbiz.de/10011627504
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Return and volatility spillovers in the presence of structural breaks : evidence from GCC Islamic and conventional banks
Benlagha, Noureddine; Mseddi, Slim - In: The journal of asset management 20 (2019) 1, pp. 72-90
Persistent link: https://www.econbiz.de/10012059749
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An empirical study of Islamic equity as a better alternative during crisis using multivariate GARCH DCC
Rizvi, Syed Aun R.; Arshad, Shaista - In: Islamic economic studies 22 (2014) 1, pp. 159-184
Persistent link: https://www.econbiz.de/10010441295
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Separating BRIC using Islamic stocks and crude oil : dynamic conditional correlation and volatility spillover analysis
Hassan, Kamrul; Hoque, Ariful; Gasbarro, Dominic - In: Energy economics 80 (2019), pp. 950-969
Persistent link: https://www.econbiz.de/10012173757
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Volatility and correlation of Islamic and conventional indices during crises
Chazi, Abdelaziz; Samet, Anis; Azad, A. S. M. Sohel - In: Global finance journal 55 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014248610
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Do Islamic stock indexes outperform conventional stock indexes? : a state space modeling approach
Ben Rejeb, Aymen; Arfaoui, Mongi - In: European journal of management and business economics : … 28 (2019) 3, pp. 301-322
breakpoints. The authors allow for efficiency and volatility spillovers to be time-varying and consider break dates to locate …/value The originality of this study is performed by the use of time-varying models for volatility spillovers and informational …
Persistent link: https://www.econbiz.de/10012118155
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Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises
Saadaoui, Amir; Boujelbene, Younes - In: Emerging Markets Journal : EMAJ 5 (2015) 1, pp. 41-49
Persistent link: https://www.econbiz.de/10011492048
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Are Islamic stock markets efficient? : a time-series analysis
Jawadi, Fredj; Jawadi, Nabila; Cheffou, Abdoulkarim Idi - In: Applied economics 47 (2015) 16/18, pp. 1686-1697
Persistent link: https://www.econbiz.de/10010511990