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A wavelet approach to timescale relationships among the Islamic and conventional stock markets and LIBOR

In: Handbook of Empirical Research on Islam and Economic Life

Author

Listed:
  • AbdelKader O. el Alaoui
  • Ginanjar Dewandaru
  • Obiyathulla Bacha
  • Mansur Masih

Abstract

This study attempts to investigate the relationships at different timescales between the Dow Jones Islamic European stock return and select continental/global Islamic and conventional stock returns and LIBOR. Both discrete and continuous wavelet techniques are used to unveil timescale relationships. The relationships between different stock indices (Dow Jones Islamic Asia, Dow Jones Islamic US, Dow Jones Conventional US and Dow Jones Islamic World, LIBOR) show evidence of multi-scale tendency. Moreover, Islamic stock returns appear to be strongly correlated with LIBOR, especially during its abrupt change. Finally, the Dow Jones Islamic stock indices appear to be impacted by the financial crisis in terms of contagion in volatility with implications for portfolio diversification. The results are plausible and intuitive and have strong policy implications.

Suggested Citation

  • AbdelKader O. el Alaoui & Ginanjar Dewandaru & Obiyathulla Bacha & Mansur Masih, 2017. "A wavelet approach to timescale relationships among the Islamic and conventional stock markets and LIBOR," Chapters, in: M. Kabir Hassan (ed.), Handbook of Empirical Research on Islam and Economic Life, chapter 28, pages 657-684, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:16049_28
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    Keywords

    Asian Studies; Economics and Finance;

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