Contagion between Islamic and conventional banks in Malaysia : empirical investigation using a DCC-GARCH model
Other Title(s)
العدوى بين البنوك الإسلامية و التقليدية في ماليزيا : بحث تجريبي بواسطة نموذج DCC-GARCH
Joint Authors
Khufi, Walid
Bin Latifah, Munyah
Source
Journal of King Abdulaziz University : Islamic Economics
Issue
Vol. 31, Issue 1 (31 Jan. 2018), pp.167-178, 12 p.
Publisher
King Abdulaziz University Scientific Publishing Center
Publication Date
2018-01-31
Country of Publication
Saudi Arabia
No. of Pages
12
Main Subjects
Financial and Accounting Sciences
Islamic Studies
Topics
Abstract EN
The purpose of this paper is to compare the stability, in terms of contagion, of conventional and Islamic banks in Malaysia.
We use a DCC-GARCH model to estimate the dynamic conditional correlation (a measure of financial contagion) for a sample of one Islamic bank and eight conventional banks during the period from March 31, 2004 to March 18, 2014.
From the empirical findings, we show that the conditional correlation between the returns of conventional and Islamic banks in Malaysia increased during the period of financial crisis.
This finding implies the existence of a financial contagion effect between Islamic and conventional banks in Malaysia.
Also, we find that financial contagion represents a major factor for the transmission of risk between Islamic and conventional banks
American Psychological Association (APA)
Bin Latifah, Munyah& Khufi, Walid. 2018. Contagion between Islamic and conventional banks in Malaysia : empirical investigation using a DCC-GARCH model. Journal of King Abdulaziz University : Islamic Economics،Vol. 31, no. 1, pp.167-178.
https://search.emarefa.net/detail/BIM-783288
Modern Language Association (MLA)
Bin Latifah, Munyah& Khufi, Walid. Contagion between Islamic and conventional banks in Malaysia : empirical investigation using a DCC-GARCH model. Journal of King Abdulaziz University : Islamic Economics Vol. 31, no. 1 (Jan. 2018), pp.167-178.
https://search.emarefa.net/detail/BIM-783288
American Medical Association (AMA)
Bin Latifah, Munyah& Khufi, Walid. Contagion between Islamic and conventional banks in Malaysia : empirical investigation using a DCC-GARCH model. Journal of King Abdulaziz University : Islamic Economics. 2018. Vol. 31, no. 1, pp.167-178.
https://search.emarefa.net/detail/BIM-783288
Data Type
Journal Articles
Language
English
Notes
Includes appendix : p. 177
Record ID
BIM-783288