Volatility spillovers and Financial contagion during global financial crisis: Islamic versus conventional equity indices with Multivariate GARCH approch
Bibliographic record
Abstract
This paper examines the volatility spillovers and the contagion effects of the 2007-2009 global financial crisis across the U.S. conventional stock market and a sample of local and global Islamic and conventional stock markets provided by the Dow Jones index, namely the United Kingdom, Canada, Europe, the Emerging-market countries and Asia-Pacific. The analysis extends from December 31, 2004 to September 30, 2016 and encompasses expansion and recession periods of the global financial crisis using the BEKK-GARCH, the DCC-GARH and the ADCC-GJR-GARCH-t models. As a result, we show evidence of high volatility transmission and significant dynamic correlations spread from the U.S. traditional stock market to each global and regional Islamic and conventional stock markets. In this light, the resilience and the decoupling hypotheses are not supported for the Islamic indices. This study has significant policy implications for portfolio diversification and provides more insights into systemic risk in these regions.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".