An Estimation of the Presence of Contagion in Islamic and Conventional Banks of Pakistan Using DCC-GARCH Model.

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Date: Jan. 2020
From: Paradigms(Vol. 14, Issue 1)
Publisher: University of Central Punjab
Document Type: Article
Length: 3,347 words
Lexile Measure: 1470L

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Abstract :

The current paper assesses the stability of conventional and Islamic banks in Pakistan. For this, study incorporated DCCGARCH methodology to estimate dynamic conditional correlation for sample of 1 Islamic and 8 conventional banks from March 31, 2006 to December 31, 2017. The results of empirical findings showed that conditional correlation has found to be increased for crisis periods between Islamic and conventional banks suggesting that effect of financial contagion is prevailing between both Islamic as well as conventional banks in Pakistan for study period. It has been observed that financial contagion is an important element for transmitting shocks between sample banks. Keywords: Islamic Finance, Conventional banks, Contagion, Crisis, DCCGARCH, Pakistan

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Gale Document Number: GALE|A636154148