Original title: Conventional vs. Shariah stock indices: Volatility, Financial Contagion, Interest Rate Risk and Gold as Safe Haven
Translated title: Conventional vs. Shariah stock indices: Volatility, Financial Contagion, Interest Rate Risk and Gold as Safe Haven
Authors: Hashmi, Osaid ; Kočenda, Evžen (advisor) ; Baxa, Jaromír (referee)
Document type: Master’s theses
Year: 2018
Language: eng
Abstract: The thesis aims at the comparison of volatility between conventional stock indices and their Shariah counterparts. We study the time-varying volatility and correlation of both categories using GARCH models, during Global Financial Crisis and afterwards, from January 2008 to March 2017. We analyze the Global stock indices drilling down into their Developed and Emerging market segments, and study the U.S. market; considering U.S. as the origin of the crisis. Extending traditional approach, we study difference of time-varying volatility between conventional and Shariah indices, and thoroughly study its dynamic development during the study period. Employing DCC-GARCH, we investigate the financial contagion within markets and find Shariah indices to be significantly affected by it. We find Shariah stocks to be less risky and a diversification opportunity during crisis, but based on market; unlike other markets, Shariah stocks are more volatile in Emerging markets. We also examine correlations of stock indices with interest rates and analyze the role of gold as a safe-haven for Shariah investors. We observe Shariah indices to be having correlation with interest rates similar to that of conventional indices, hence exposed to interest rate risk. Finally, we find that gold is less correlated to Shariah...
Keywords: Correlation; Financial Contagion; GARCH; Global Financial Crisis; Islamic Finance; Shariah Indices; Stock markets; Volatility; Correlation; Financial Contagion; GARCH; Global Financial Crisis; Islamic Finance; Shariah Indices; Stock markets; Volatility

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/99574

Permalink: http://www.nusl.cz/ntk/nusl-384797


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses