@Article{mfj:1620,
title={An Analysis of Spillovers Between Islamic and Conventional Stock Bank Returns: Evidence from the GCC Countries},
author={Slim Mseddi and Noureddine Benlagha},
journal={Multinational Finance Journal},
volume={},
number={},
pages={--},
year=,
publisher={Multinational Finance Society; Global Business Publications},
url={http://www.mfsociety.org/}
keywords={},
abstract={Recent global financial crisis have seriously affected the conventional banking system in the whole of the world, and has induced a series of failure of many banks and led to an increased interest in the Islamic banking system. The resilience of banks to crisis may be reflected by the behavior of stock bank returns during (short run) and after the crisis (long run). In this particular context, we focus on dependence and spillover effects between Islamic and conventional stock banks returns in GCC countries. We use daily return data for Islamic and conventional banks for the Gulf Cooperation Council countries for the period 2005-2015 to analyze the behavior of volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across banks. The analysis uses univariate and multivariate GARCH volatility models, especially Dynamic Conditional Correlation, which is compared to Diebold and Yilmaz’s methodology..},
}