Impact of Global Financial Crisis on Islamic and Conventional Stocks in the GCC Stock Markets: An Application of ARCH and GARCH Methods

• Main Authors: Raditya Sukmana, Dr., SE., M.A., Sutan Emir Hidayat
• Other Authors: Mehmet Asutay, -
• Format: Book Section PeerReviewed
• Language: English; Indonesian
• Published: Gerlach Press 2015
• Subjects: HG1723 Bank stocks. Banking as an investment; HG3810-4000 Foreign exchange. International finance. International monetary system; HG4001-4285 Finance management. Business finance.Corporation finance
• Online Access: https://repository.unair.ac.id/72647/1/Raditya%20Sukmana_Karya%20Ilmiah%20002_Islamic%20Finance.pdf; https://repository.unair.ac.id/72647/2/Raditya%20Sukmana_Peer%20Riview%20002.pdf; https://repository.unair.ac.id/72647/
• Institution: Universitas Airlangga

This paper attempts to seek the impact of the subprime crisis (both conventional and Islamic) in the GCC region. To make the analysis robust, this paper has adopted the daily data of all the stock market observations is around 1300 for each country. The method adopted the ARCH GARCH method. This method enables us to see whether of the crisis on the mean of the index on the volatility of conclusion derived from this paper is that, once a country ha to external conditions, the domestic condition may face a difficult situation. This is because the overseas problem will rapidly transmit to the domistic market, countries especially in the case of countries which have international centres in which overseas investors play a significant role.