The Impact of Financial Crisis on Islamic and Conventional Indices of the GCC Countries
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.
|Date of creation:||27 Jun 2014|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 33 1 53 63 36 00
Web page: http://www.ipag.fr
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- A. Khalifa & S. Hammoudeh & E. Otranto, 2012. "Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment," Working Paper CRENoS 201209, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Hammoudeh, Shawkat & Li, Huimin, 2008. "Sudden changes in volatility in emerging markets: The case of Gulf Arab stock markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 47-63.
- Farooq Malik & Bradley Ewing & James Payne, 2005. "Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns," Canadian Journal of Economics, Canadian Economics Association, vol. 38(3), pages 1037-1056, August.
- Nathaniel Frank & Heiko Hesse, 2009.
"Financial Spillovers to Emerging Markets During the Global Financial Crisis,"
IMF Working Papers
09/104, International Monetary Fund.
- Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
- repec:ipg:wpaper:35 is not listed on IDEAS
- Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sarafrazi, Soodabeh, 2014.
"How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 28(C), pages 213-227.
- Ahdi Noomen Ajmi & Shawkat Hammoudeh & Duc Khuong Nguyen & Soodabeh Sarafrazi, 2013. "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Working Papers 2013-035, Department of Research, Ipag Business School.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Hassan, Abul & Antoniou, Antonios & Paudyal, D Krishna, 2005. "Impact Of Ethical Screening On Investment Performance: The Case Of The Dow Jones Islamic Index," Journal of Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 12, pages 68-97.
- Bartram, Söhnke M. & Bodnar, Gordon M., 2009. "No place to hide: The global crisis in equity markets in 2008/2009," Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1246-1292, December.
- Haitham A. Al-Zoubi & Aktham I. Maghyereh, 2007. "The Relative Risk Performance Of Islamic Finance: A New Guide To Less Risky Investments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 235-249.
- M. Kabir Hassan & Eric Girard, 2011.
"Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes,"
NFI Working Papers
2011-WP-05, Indiana State University, Scott College of Business, Networks Financial Institute.
- Hassan, M. Kabir & Girard, Eric, 2010. "Faith-Based Ethical Investing: The Case Of Dow Jones Islamic Indexes," Journal of Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 17, pages 0-0.
- Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
- Bartram, Söhnke M. & Bodnar, Gordon M., 2009. "No Place To Hide: The Global Crisis in Equity Markets in 2008/09," MPRA Paper 15955, University Library of Munich, Germany.
- Brooks, Chris & Henry, Olan T., 2000.
"Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia,"
Elsevier, vol. 17(4), pages 497-513, December.
- Brooks, C. & Henry, O.T., 1999. "Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia," Department of Economics - Working Papers Series 676, The University of Melbourne.
- Khatkhatay, M. H. & Nisar, Shariq, 2007. "Shari[Ah Compliant Equity Investments: An Assessment Of Current Screening Norms," Journal of Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 15, pages 48-76.
- Hammoudeh, Shawkat & Li, Huimin, 2005. "Oil sensitivity and systematic risk in oil-sensitive stock indices," Journal of Economics and Business, Elsevier, vol. 57(1), pages 1-21.
- Hayat, Raphie & Kraeussl, Roman, 2011. "Risk and return characteristics of Islamic equity funds," Emerging Markets Review, Elsevier, vol. 12(2), pages 189-203, June.
- Theodossiou, Panayiotis, et al, 1997. "Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets," The Financial Review, Eastern Finance Association, vol. 32(2), pages 205-24, May.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Fikriyah Abdullah & Taufiq Hassan & Shamsher Mohamad, 2007. "Investigation of performance of Malaysian Islamic unit trust funds: Comparison with conventional unit trust funds," Managerial Finance, Emerald Group Publishing, vol. 33(2), pages 142-153.
- Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 207-233, April.
- Indika Karunanayake & Abbas Valadkhani & Martin O'Brien, 2010. "Financial Crises And International Stock Market Volatility Transmission," Australian Economic Papers, Wiley Blackwell, vol. 49(3), pages 209-221, 09.
- Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 33-55, March.
When requesting a correction, please mention this item's handle: RePEc:ipg:wpaper:2014-401. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ingmar Schumacher)
If references are entirely missing, you can add them using this form.