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International Journal of Academic Research in Economics and Management Sciences

Open Access Journal

ISSN: 2226-3624

Volatility Spillover Effect from Conventional Stock Markets to Islamic Stock Markets

Cengiz Toraman, Medet I?de, Mehmet Fatih Bu?an, Yunus Kiliç

http://dx.doi.org/10.6007/IJAREMS/v5-i4/2521

Open access

The aim of this study is testing whether there is volatility spillover effect from international markets to OIC member countries’ Islamic markets. For this purpose, we use USA, EU and ASIA conventional indices for international markets’ indicator. We test the existence of information transmission between markets via causality in mean test and causality in variance test for volatility spillover effect. Empirical results show that there is intensive information transmission between markets but limited spillover effect.