This paper sheds light on the economic impacts of political uncertainty caused by the civil uprisings that swept across the Arab World and have been collectively known as the Arab Spring. Measuring documented effects of political uncertainty on regional stock market indices, we examine the...

How does the extent of integration of the Malaysian equity market with the equity markets of Japan and USA vary at different time scales? How dynamic is the extent of co-movement of equity price with the major macroeconomic indicators of Malaysia? In order to answer these two major issues, this...

Volatility is a measure of variability in the price of an asset and is associated with unpredictability and uncertainty about the price. Even it is a synonym for risk; higher volatility means higher risk in the respective context. With regard to stock market, the extent of variation in stock...

We attempted to investigate the contagion effects of the US subprime crisis on ASEAN-5 stock markets [including Malaysia (conventional and Islamic), Thailand, Singapore, Indonesia, Philippines] by applying MGARCH-DCC through the period of January 1, 2004 to July 5, 2012 on daily stock indices...

This study makes the initial attempt to investigate the time varying volatility and return linkages of Moroccan Islamic stock indices with the market and regional based indices especially during times of political unrest. More specifically, we use the Dow Jones Islamic Developed markets and...

Islamic Finance as an industry in recent times has been celebrated for its stability and resilience. With the philosophy of risk sharing and strict rules governing its activities to be in line with Islamic Law (the Shariah), the industry is seen as an alternative to the conventional finance with...

Mansur Masih3 Abstract This research studies the benefit of the practice of Restricted Short Selling (RSS) on the Islamic stocks. Benefit is defined as the influence of the application of RSS on the stock returns and ultimately, on the market. Malaysia is used as a case study. Using dynamic...

In theory, the price of equity is determined by the dividend yields and growth potentials of the firms. There exists established empirical proof of the impact of macroeconomic changes to the equity markets. With the advent of Islamic equities, and the recent surge of interest in them have raised...

This paper investigates the dynamic causal linkages in the daily returns among seven major conventional and Islamic stock indices in East Asia through the application of the time series techniques. We analyse seven conventional and Shariah -compliant stock indices (such as, FTSE Shariah China...

Our study measures co-movements in Islamic and conventional equity markets, to discover contagion and to measure integration level. We apply wavelet decomposition to unveil the multi-horizon nature of co-movement. We find that the subprime crisis generates fundamental-based contagion for both...