Abstract:
In this paper a multivariate GARCH model is used to study the contagion phenomena after the American subprime crisis. Among the various specifications characterizing this class of multivariate GARCH models, the one developed by Engle (2002) was used. This model allows tracking the dynamics of correlation between two or more assets. A daily Dow Jones Islamic-nonIslamic stock price from January 2 2006 to November 20 2015 are used for a total of 2571 observations. The stock prices involved include five Islamic Dow Jones Indexes relative to America, Canada, United Kingdom, Japan, and Malaysia, and five non Islamic Dow Jones Indexes relative to the same countries.
