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The Impact of Financial Crisis on Islamic and Conventional Indices of the GCC Countries

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  • Hela Miniaoui
  • Hameedah Sayani
  • Anissa Chaibi

Abstract

We study performance of Islamic and conventional indices of the Gulf Cooperation Council (GCC) countries in the wake of financial crisis of 2008 and test whether Islamic indices were less risky than conventional indices. We make use of data of the six GCC markets as well as the Dow Jones Islamic Market Index GCC. The mean and variance of each of the indices are analyzed based on augmented GARCH models. The results show that the financial crisis impacted on the mean returns of Bahrain, the other indices remained unaffected. The financial crisis, however, impacted volatility in three GCC markets (Kuwait, Bahrain, and the UAE), while the impact on the remaining markets (Saudi Arabia, Oman, and Qatar) and the Islamic index was insignificant. More interestingly, we show that the Islamic index did not exhibit lower volatility than its conventional counterparts.

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Bibliographic Info

Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-401.

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Length: 24 pages
Date of creation: 27 Jun 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-401

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Keywords: Islamic Investment; Financial crisis; GARCH models; GCC markets.;

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Cited by:
  1. Ibrahim Fatnassi & Habib Hasnaoui & Zied Ftiti, 2014. "The impact of bank capital on profitability and risk in GCC countries: Islamic vs. Conventional," Working Papers 2014-413, Department of Research, Ipag Business School.

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