Contagion between World and Emerging Islamic Equity Markets: An Application of Clayton Copula Technique

  • Waqar Haider Hashmi PhD Scholar, Foundation University, Islamabad
  • Dr. Abdul Qayyum Khan COMSATS University Islamabad, Wah Campus
  • Khurram Shaheen PhD Scholar, Foundation University, Islamabad
Keywords: Contagion, Volatility Spillover, Archimedean Copula, Islamic Equity Market

Abstract

The aim of this study is to examine the contagion between the world Islamic equity market and selected emerging Islamic equity markets including Bahrain, Bangladesh, Egypt, Indonesia, Malaysia, Pakistan, Qatar, Saudi Arabia, Turkey and UAE. We applied Clayton Copula technique using daily MSCI Islamic indices data from 1st September 2010 to 30th September 2017. The results con

Published
2020-08-01