Volatility Spillover Effect from Conventional Stock Markets to Islamic Stock Markets

Abidin, I. S. Zainal; Abu Bakar, Nor’Aznin and Sahlan, Rizauddin (2013). The Determinants of Exports between Malaysia and the OIC Member Countries: A Gravity Model Approach. Procedia economic and Finance, 5, 12-19.
Abu Bakar, N. and Masih A. M. (2014). The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis. MPRA Paper No. 56977.
Ahmed, Z. and Ugurel, I. (1998). The Islamic Capital Market: Is it Economically and Politically Justifiable?. Humanomics, 14(4), 79-117.
Akbarzadeh, Shahram and Connor, Kylie (2005). The Organization of The Islamic Conference: Sharing an Illusion. Middle East Policy, 12(2), 79-92.
Arshanapalli, B. and Doukas, J. (1993). International stock market linkages: Evidence from the pre and post-October 1987 period. Journal of Banking & Finance, 17(1), 193-208.
Beirne, John; Caporale, Guglielmo Maria; Schulze-Ghattas, Marianne and Spagnolo, Nicola (2013). Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. Review of International Economics, 21(5), 1060–1075.
Bekaert, Geert and Harvey Campbell R. (1997). Emerging equity market volatility. Journal of Financial Economics, 43, 29-77.
Bendjilali, B. (1997). An Intra-Trade Econometric Model for OIC Member Countries: A Cross Country Analysis. IRTI Research Papers, 55.
Blackman, S.C. Holden, K. and Thomas, W.A. (1994). Long-term relationships between international share prices. Applied Financial Economics, 4, 297-304.
Brooks, Chris (2002). Introductory Econometrics for Finance. Cambridge Universities.
Buchanan, I.C. (2008). Bridging the Income Gap Between Nations by Unlocking the Potential of the State Owned Sector. Paper Presented at the World Islamic Economic Forum, Kuala Lumpur.
Cha, B. and Oh, S. (2000). The relationship between developed equity markets and the Pacific Basin's emerging equity markets. International Review of Economics & Finance, 9(4), 299-322.
Cheung, Yin-Wong and Ng, Lilian K. (1996). A causality-in-variance test and its application to financial market prices. Journal of Econometrics, 72(1-2), 33-48.
Dabour, N.M. (2004). Implications of Establishing an Islamic Common Market: Gradual Integration and Possible Consequences. Journal of Economics Cooperation, 25(1), 71-98.
G?bka, Bartosz and Serwa, Dobromi? (2007). Intra-and inter-regional spillovers between emerging capital markets around the world. Research in International Business and Finance, 21(2), 203-221.
Ghani, G. M. (2007). Does OIC Membership Reduce Trade?. Journal of Economic Cooperation, 28(4), 39-62.
Hamid, H. (2006). A Shapshot of Current Economics State of Being for Muslim Countries. Paper Presented at the World Islamic Economic Forum, Kuala Lumpur.
Hammoudeh, Shawkat; Mensi, Walid; Reboredo, J.Carlos and Nguyen, D.Khuong (2014). Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors. Paci?c-Basin Finance Journal, 30, 189–206.
Hassan, M.K., B.A. Sanchez, and M.E. Hussain. (2010). Economic Performance of the OIC Countries and the Prospect of an Islamic Common Market. Journal of Economic Cooperation and Development, 31(2), 65–121.
Hong, Y. (2001). A test for volatility spillover with application to exchange rates. Journal of Econometrics, 103(1), 183–224.
Hoque, H. (2007). Co-movement of Bangladesh stock market with other markets: Cointegration and error correction approach. Managerial Finance, 33(10), 810-820.
Iqbal, Zamir and Mirakhor, Abbas (2013), “Economic Development and Islamic Finance”, Directions in Development, Washington, DC: World Bank.
Korkmaz, Turhan; Çevik, Emrah ?. and Atukeren, Erdal (2012). Return and Volatility Spillover among CIVETS Stock Markets. Emerging Markets Eview, 13, 230-252.
Lee, S.B. and Kim, K.J. (1993). Does the October 1987 crash strengthen the co-movements among national stock markets?. Review of Financial Economics, 3, 89-102.
Lessard, D. R. (1973). International portfolio diversification: a multivariate analysis for a group of Latin American countries. The Journal of Finance, 28(3), 619-633.
Levy, H. and Sarnat, M. (1970). International diversification of investment portfolios. The American Economic Review, 668-675.
Liu, Y. Angela and Pan, Ming–Shiun (1997). Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets. Multinational Finance Journal, 1(1), 47-62.
Majdoub, J. and Mansour, W. (2014). Islamic equity market integration and volatility spillover between emerging and US stock markets. The North American Journal of Economics and Finance, 29, 452470.
Mobarek, Asma and Kalonov, Alovaddin (2014). “Comparative Performance Analysis between Conventional and Islamic Banks: Empirical Evidence from OIC Countries. Applied Economics, 46(3), 253-270.
Mohmand, Y. Tariq and Wang, Aihu (2014). Is the Organization of Islamic Cooperation Promotin Trade Among Members?. Pakistan Journal of Statistics, 30(21), 113-128.
Nazl?o?lu, Saban; Hammoudeh, Shawkat and Gupta, Rangan (2015). Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test. Applied Economics, 47(46), 4996-5011.
Nelson, D. B. (1991). Conditional heteroscedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347–370.
Ng, Angela (2000). Volatility spillover effects from Japan and the US to the Paci?c–Basin. Journal of International Money and Finance, 19, 207-233.
Rachdi, A. (2008). Trade Complementarities and Prospects of Trade among the Member States of the Organisation of the Islamic Conference (OIC). Paper Presented at the World Islamic Economic Forum, Kuala Lumpur.
Rahim, Fahmi Abdul; Ahmad, Noryati and Ahmad, Ismail (2009). Information transmission between Islamic stock indices in South East Asia. International Journal of Islamic and Middle Eastern Finance and Management, 2(1), 7-19.
Raimi, L. and Mobolaji, H. I. (2008). Imperative of Economic Integration among Muslim Countries: Lessons from European Globalisation. Humanomics, 24(2), 130-144.
Saadaoui, Amir and Boujelbene, Younes (2015). Volatility Transmission between Dow Jones Stock Index and Emerging Islamic Stock Index: Case of Subprime Financial Crises. Emerging Markets Journal, 5(1), 40-49.
Sansó Andreu; Aragó Vicent and Carr?on S. Josep Lluis, (2004). Testing for Changes in the Unconditional Variance of Financial Time Series, Revista de Economía Financiera, 1-24.
Singh, Priyanka; Kumar, Brajesh and Pandey Ajay (2010). Price and volatility spillovers across North American, European and Asian stock markets. International Review of Financial Analysis, 19, 55-64.
Sun P.Hun; Hassan, M.Kabir; Hassan, Taufiq and Ramadili, S.Mohamed (2014). The Assets and Liabilities Gap Management of Conventional and Islamic Banks in the Organization of Islamic Cooperation (OIC) Countries. Applied Financial Economics, 24(5), 333-346.
Toraman, Cengiz, Ata, H. Ali and Bu?an, M.Fatih (2015). A Study on Customer Perception towards the Islamic Banking Operations. Gaziantep University Journal of Social Sciences, 14(4), 761-779.
Worthington, Andrew and Higgs, Helen (2004). Random walks and market efficiency in European equity markets. Global Journal of Finance and Economics, 1(1), 59-78. http://www.oic-oci.org/oicv3/home/?lan=en

(Toraman et al., 2016)
Toraman, P. C., I?de, M., Bu?an, M. F., & Kiliç, Y. (2016). Volatility Spillover Effect from Conventional Stock Markets to Islamic Stock Markets. International Journal of Academic Research in Economics and Management Sciences, 5(4), 216–233.

Copyright: © 2018 The Author(s)
Published by Human Resource Management Academic Research Society (www.hrmars.com)
This article is published under the Creative Commons Attribution (CC BY 4.0) license. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this license may be seen at: http://creativecommons.org/licences/by/4.0/legalcode