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Ph.D Scholar, Deptt. Management Sciences, COMSATS University Islamabad, Lahore Campus, Pakistan, scc.ranamajid@gmail.com Assistant Professor, Center of Islamic Finance, COMSATS University Islamabad, Lahore Campus, Pakistan, drwaheed@cuilahore.edu.pk Assistant Professor, Deptt. Management Sciences, COMSATS University Islamabad, Lahore Campus, Pakistan, usman.bhutta@cuilahore.edu.pk ARTICLE DETAILS ABSTRACT History Revised format: May 2020 Available Online: Jun 2020 Purpose: The study explores the relationship between the volatility of stock return of markets (Islamic & conventional) and macroeconomic factors by using GARCH in Mean (1,1) model during global financial crisis. Design/Methodology/Approach: monthly data for the period from 04 Jan, 2005 to 31 Dec, 2015. The Islamic stock markets (Dow Jones Islamic Market Malaysia (DJIM), Dow Jones Islamic Market Indonesia (DJII) & Dow Jones world Islamic Index (DJWI)-Benchmark), Conventional stock markets (Shanghai Stock Exchange (SSE),Bombay Stock Exchange (BSE) & Pakistan Stock Exchange (PSE) and Macroeconomic factors (Inflation, Interest Rate, Oil prices and Industrial Production) are taken into consideration. Findings: The results explored that inflation rate influenced the returns of conventional stock markets than Islamic stock markets. Moreover, the volatility components for macroeconomic factors i.e. inflation, interest rate and oil prices are more volatile but larger to industrial production during global financial crisis. Implications/Originality/Value: However, the frequency of market volatility for Islamic stock market is lower than conventional stock markets that mean that the investment in Islamic stock markets seems to be safe flight than conventional stock markets during global financial crisis.

Nexus between Volatility of Stocks and Macroeconomic Factors during Global Financial Crisis: Evidence from Conventional & Islamic Stocks