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Wavelet analysis of the conventional and Islamic stock market relationship ten years after the global financial crisis

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  • Fredj Jawadi
  • Nabila Jawadi
  • Abdoulkarim Idi Cheffou

Abstract

This paper studies the relationship between conventional and Islamic stock markets in the US and worldwide ten years after the recent global financial crisis (GFC). Specifically, it empirically verifies whether the Islamic stock market would be a reliable alternative to the conventional one. Using wavelet analysis, we show a positive and significant correlation between the two stock markets, which has increased significantly in the aftermath of the GFC. This finding qualifies the Islamic stock market as a rather different market that could become a real alternative only if it proposes a less risky investment framework.

Suggested Citation

  • Fredj Jawadi & Nabila Jawadi & Abdoulkarim Idi Cheffou, 2020. "Wavelet analysis of the conventional and Islamic stock market relationship ten years after the global financial crisis," Applied Economics Letters, Taylor & Francis Journals, vol. 27(6), pages 466-472, March.
    • Handle: RePEc:taf:apeclt:v:27:y:2020:i:6:p:466-472
    DOI: 10.1080/13504851.2019.1631438
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    Cited by:

    1. Mariya Gubareva & Zaghum Umar, 2023. "Emerging market debt and the COVID‐19 pandemic: A time–frequency analysis of spreads and total returns dynamics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 112-126, January.
    2. Umar, Zaghum & Gubareva, Mariya, 2021. "Faith-based investments and the Covid-19 pandemic: Analyzing equity volatility and media coverage time-frequency relations," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    3. Umar, Zaghum & Gubareva, Mariya & Teplova, Tamara, 2021. "The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels," Resources Policy, Elsevier, vol. 73(C).

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