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

  • Waqar Haider Hashmi PhD Scholar, Department of Business Administration, Foundation University, Islamabad
  • Dr. Abdul Qayyum Khan Associate Professor, Department of Management Sciences, COMSATS University Islamabad, Wah Campus
  • Khurram Shaheen PhD Scholar, Department of Business Administration, Foundation University, Islamabad
Keywords: Contagion, Volatility Spillover, Archimedean Copula, Islamic Equity Market, JEL Classification Codes: E44, G15 & G32

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 confirm the existence of contagion between MSCI’s world Islamic equity market and the selected ten Emerging Islamic Equity Markets during the period of study. Past academic discourse is mainly focused on examining the connectivity between conventional and Islamic or developed and underdeveloped markets, whereas, this study focuses on investigating transmission of spillovers from the world Islamic equity market to ten emerging Islamic equity markets. Clayton Copula has been used in this context for the first time.

Published
2020-10-14