Financial crisis and segmentation of Islamic stock market

Financial market crisis and financial market channel

Financial market segmentation, stock market volatility and the role of monetary policy

This paper explores the role of monetary policy in a segmented stock market model. Previous research (e.g Mankiw and Zeldes (1991), Vissing-Jørgensen (2002)) reports that only a fraction of the households participates in the stock market. In this paper participating households have stochastic dividend as part of their income and are, therefore, subject to financial market risk. Also, only parti...

Has Tehran Stock Market Calmed Down after Global Financial Crisis?Markov Switching GARCH Approach

We have introduced an early warning system for volatility regimes regarding Tehran Stock Exchange using Markov Switching GARCH approach. We have examined whether Tehran Stock Market has calmed down or more specifically, whether the surge in volatility during 2007-2010 global financial crises still affects stock return volatility in Iran.  Doing so, we have used a regime switching GARCH model.  ...

Financial Crisis Contagion and the OPEC Oil Market

The impact of the financial crisis on the OPEC oil market is important to us as an important member of OPEC and an oil-exporting country with an oil-dependent economy. This study examines four networks, pre-financial crisis, US financial crisis, European debt crisis and post-financial crisis, using the contagion index and complex network for the period 2007-1-2 to 26-8-2019. The results show th...

Quantitative measurement of the contagion effect between US and Chinese stock market during the financial crisis

In this paper, we study the quantitative measurement of contagion effect between US and Chinese stock market during the financial crisis by combining multifractal volatility (MFV) with the copula method. At first, we employ MFV to filter volatility of the twomarkets due to the existence of heteroskedasticity. Thenwe use an improved time-varying Clayton copula to estimate the dynamic lower tail ...