Is Islamic stock market no different than conventional stock market? An evidence from Malaysia

Ruzanna Ab Razak, Noriszura Ismail, Nor Azliana Aridi

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

The Islamic stock market is exposed to global financial crisis. Its return and risk performance are likely to share similar characteristics as its conventional counterpart. This study investigates the dependence between the returns of Islamic stock market index and conventional stock market index in two periods, in which one period contains the global financial crisis. The association between the two markets increases across periods: from stable to financial crisis period. Using the copula approach, the joint returns exhibit strong symmetric dependence during the financial crisis period. The symmetric tail dependence index suggests moderate extreme dependency in times of bull and bear markets. As Malaysia is a frontier in Islamic finance, it is no surprise that many large corporations becoming Sharia-compliant companies. Hence, this phenomenon has caused the increment of association measure between Islamic and conventional stock markets across time.

Original languageEnglish
Pages (from-to)3914-3920
Number of pages7
JournalInternational Business Management
Volume10
Issue number17
Publication statusPublished - 2016

Fingerprint

Stock market index
Malaysia
Stock market
Global financial crisis
Financial crisis
Bear market
Risk and return
Copula
Bull market
Surprise
Tail dependence
Islamic finance

ASJC Scopus subject areas

  • Business and International Management
  • Strategy and Management

Cite this

Is Islamic stock market no different than conventional stock market? An evidence from Malaysia. / Razak, Ruzanna Ab; Ismail, Noriszura; Aridi, Nor Azliana.

In: International Business Management, Vol. 10, No. 17, 2016, p. 3914-3920.

Research output: Contribution to journalArticle

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