Events at UOWD
The Impact of Financial Crisis on Islamic and Conventional Indices of the GCC Countries
The study examines the performance of the Islamic and conventional indices of the Gulf Cooperation Council (GCC) countries during the recent financial crisis, to understand whether the financial crisis had a prolonged impact on both conventional and Islamic indices or not. The study uses data of six GCC markets: Saudi Arabia, Bahrain, Qatar, Oman, Kuwait and the United Arab Emirates, and the Dow Jones Islamic Markets Index GCC. The mean and variance of each of the indices is analysed using conventional GARCH (1,1) model and its modified version. A dummy variable is incorporated in the modified GARCH to integrate the impact of financial crisis. The results suggest that the financial crisis impacted the mean returns of Bahrain while the returns of all other indices in the sample remained unaffected. On the other hand, the financial crisis significantly impacted volatility in some GCC markets (Kuwait, Bahrain, and the UAE), while the impact on the remaining markets (Saudi Arabia, Oman, and Qatar) and the Islamic index was statistically insignificant. The findings infer that the impact of financial crisis on the Islamic index was not different from some of its conventional counterparts.