Title: Multi-resolution co-movement dynamics of conventional and Islamic stock markets: mapping global financial interdependencies

Authors: Amel Belanes; Foued Saâdaoui; Hana Rabbouch

Addresses: Department of Finance and Economics, College of Business, University of Jeddah, Al Faisaliyah District, Jeddah 23445, Saudi Arabia ' Rabat Business School, International University of Rabat, Technopolis, Rabat-Salé 11100, Morocco; Laboratory of Algebra, Number Theory and Nonlinear Analysis, LR 18 ES 15, Faculty of Sciences, University of Monastir, Monastir 5019, Tunisia ' Laboratory of Algebra, Number Theory and Nonlinear Analysis, LR 18 ES 15, Faculty of Sciences, University of Monastir, Monastir 5019, Tunisia; Higher Institute of Management of Sousse, University of Sousse, Abedelaziz El Bahi Street, P.O. Box No. 763, Sousse 4000, Tunisia

Abstract: This study examines contagion and co-movement between Islamic and conventional equity indices in the USA, Canada, the UK, and Japan during periods of financial distress. A wavelet-based multi-scale framework is applied to daily data over 2001-2017, capturing market dynamics before, during, and after the 2008 global financial crisis. To assess the stability of these relationships under a more recent systemic shock, the analysis is extended to the COVID-19 period using an updated sample covering 2017-2026. The results reveal marked heterogeneity in contagion patterns across crisis episodes, with pronounced differences in both intensity and time-frequency dependence of co-movements. Interdependence strengthens substantially during turbulent periods, reflecting heightened vulnerability under financial stress. Both global and local shocks are found to be key drivers of market dynamics across multiple investment horizons. Dependence structures are time-varying and state-dependent, exhibiting stronger synchronisation during crises and partial decoupling in calmer periods. These findings highlight important implications for portfolio allocation and risk management under evolving financial interdependencies.

Keywords: multi-scale analytics; financial data; co-movement; contagion; wavelets; US stock market.

DOI: 10.1504/IJCEE.2026.155846

International Journal of Computational Economics and Econometrics, 2026 Vol.16 No.3, pp.187 - 217

Received: 19 Sep 2025
Accepted: 11 May 2026
Published online: 24 Aug 2026 *

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