Analysis of relationships between Malaysia’s Islamic and conventional stock markets using wavelet techniques
A better understanding on the behavior of stock markets and their co-movement is obliged for investors and a country to diversify their investment risk. This study looks at Malaysia’s Islamic and conventional stock market indices and their relationship through Continuous Wavelet Transform and Wavele...
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| creator | Mohammed, Siti Aisyah Bakar, Mohd Aftar Abu Ariff, Noratiqah Mohd |
| description | A better understanding on the behavior of stock markets and their co-movement is obliged for investors and a country to diversify their investment risk. This study looks at Malaysia’s Islamic and conventional stock market indices and their relationship through Continuous Wavelet Transform and Wavelet Coherent methods. The analysis shows that both stock markets are strongly correlated. The wavelet power spectrum shows that both stock markets have almost similar pattern and behavior throughout the observed period especially at higher scale. The wavelet coherence reveals that the relationship between both stock markets is highly dependence. This study shows that the contour plot of the wavelet coherence could be used to reveal some disagreement between both stock markets. |
| doi_str_mv | 10.1063/1.5111225 |
| format | Conference Proceeding |
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| fulltext | fulltext |
| identifier | ISSN: 0094-243X |
| ispartof | AIP conference proceedings, 2019, Vol.2111 (1) |
| issn | 0094-243X 1551-7616 |
| language | eng |
| recordid | cdi_scitation_primary_10_1063_1_5111225 |
| source | AIP Journals Complete |
| subjects | Coherence Continuous wavelet transform Dependence Investment Markets Securities markets Stock exchanges Wavelet analysis Wavelet transforms |
| title | Analysis of relationships between Malaysia’s Islamic and conventional stock markets using wavelet techniques |
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