This study examines market co-movements in Islamic and mainstream equity markets across different regions in order to discover contagion during 9 major crises and to measure integration between markets. Using wavelet decomposition to unveil the multi-horizon nature of co-movement, we find that...

Objective: The objective of the article is to empirically explore the effects of actual, expected, and unexpected inflation on conventional and Islamic stock markets in Indonesia. Research Design & Methods: In the first stage, an auto-regressive integrated moving average (ARIMA) model is...

This paper examines the time-varying conditional correlations between seventeen metal future markets and Malaysian Islāmic bonds. We apply twelve six variate dynamic conditional correlation (DCC) FIGARCH models in order to capture potential contagion effects between the markets for the period...

This work quantifies the financial and macroeconomic effects of the most significant Brexit events from 23 June 2016 up to 31 December 2019 for fifteen economies. The study uses high-frequency data and shows that following the referendum outcome, overall the 10-year government bond yield of the...

What attracts conventional investors to Islamic financial instruments? We answer this question by comparing Malaysian Islamic and conventional security prices and their response to macrofinancial factors. Our analysis suggests that Islamic and conventional bond and equity prices are driven by...

This study attempts to develop a financial vulnerability indicator serving as a composite indicator for the state of financial vulnerability. The indicator was constructed from 10 variables of macroeconomic, financial and property market by extracting a common vulnerability component through the...