Authors : Ruzanna Ab Razak, Noriszura Ismail and Nor Azliana Aridi
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.
Ruzanna Ab Razak, Noriszura Ismail and Nor Azliana Aridi, 2016. Is Islamic Stock Market no Different than Conventional Stock Market? An Evidence from Malaysia. International Business Management, 10: 3914-3920.