Dynamic connectedness and spillovers between Islamic and conventional stock markets: time- and frequency-domain approach in COVID-19 era

Dynamic connectedness and spillovers between Islamic and conventional stock markets: time- and frequency-domain approach in COVID-19 era

This study investigates the dynamic connectedness and spillovers between Islamic and conventional stock markets to reveal the time- and frequency-domain dynamics of the two asset classes under various market conditions. Using the spillover index of Baruník and Křehlík (2018), supplemented by the tim...

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Bibliographic Details
Main Authors: Ahmed Bossman, Peterson Owusu Junior, Aviral Kumar Tiwari
Format: Article
Language:English
Published: Elsevier 2022-04-01
Series:Heliyon
Subjects:
Dynamic connectedness
Volatility spillovers
Conventional stock markets
Islamic stock markets
Time- and frequency-domain
COVID-19 pandemic
Online Access:http://www.sciencedirect.com/science/article/pii/S2405844022005035

Internet

http://www.sciencedirect.com/science/article/pii/S2405844022005035

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