The Impact of Financial Crisis on Islamic and Conventional Indices of the GCC Countries
AbstractWe 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 InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-401.
Length: 24 pages
Date of creation: 27 Jun 2014
Date of revision:
Islamic Investment; Financial crisis; GARCH models; GCC markets.;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
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