Skip to Main content Skip to Navigation
Journal articles

The Financial Volatility of Islamic Banks during the Subprime Crisis

Abstract : This empirical study examines the financial stability of Islamic banks during the subprime crisis. It covers a sample of fourteen Islamic banks and fourteen conventional banks. The conditional variance (volatility) of returns was used to measure financial stability. The E-GARCH and GJR-GARCH asymmetric models were used to estimate volatility due to their ability to take into account the leverage effect. The results of this study show that conventional bank returns were highly volatile during the crisis period, while Islamic banks saw their volatility - initially low - increase during the crisis, though to a much more moderate extent. These results corroborate both the hypothesis that Islamic banks were at least partially immune to the subprime crisis and the underlying hypothesis that Islamic banks are not subject to the same risks as conventional banks - although, due to their links with the real economy, they do eventually suffer the consequences of the subprime crisis.
Complete list of metadata

https://hal.archives-ouvertes.fr/hal-01369253
Contributor : Cerefige Ul <>
Submitted on : Tuesday, September 20, 2016 - 4:36:30 PM
Last modification on : Monday, March 29, 2021 - 11:30:03 AM

Identifiers

  • HAL Id : hal-01369253, version 1

Citation

Aniss Boumediene, Jérôme Caby. The Financial Volatility of Islamic Banks during the Subprime Crisis. Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2013, pp.30 - 39. ⟨hal-01369253⟩

Share

Metrics

Record views

202