The primary purpose of the study is to investigate the volatility spillovers from global economic policy uncertainty and macroeconomic factors to the Islamic stock market returns. The study focuses on the Islamic stock indices of emerging economies including Indonesia, Malaysia, and Turkey. The Macroeconomic factors are industrial production, consumer price index, exchange rate. EGARCH model is employed for investigation of volatility spillovers. The results show that the global economic policy uncertainty has a significant spillover effect only on the returns of Turkish Islamic stock index. Similarly, the shocks in macroeconomic factors have little influence on the volatility of Islamic indices returns. The volatility of Indonesian and the Turkish Islamic stock indices returns is not influenced from the fluctuations in macroeconomic factors. However, there is significant volatility spillover only from industrial production to the returns of Malaysian Islamic index. The results suggest that the Islamic stock markets are less likely to influence from the global economic policies and macroeconomic factors. The stability of Islamic stocks provide opportunity for diversification of portfolios, particularly in stressed market conditions. The major price factors of Islamic markets could be firms’ specific factors or investors’ behaviors. The findings are helpful for policy makers and investors in formulating policies and portfolios.

Abstract
1. Introduction
2. Literature Review
3. Methodology
    3.1. Data and Variables
    3.2. Unit Root Test
    3.3. Econometric Model
4. Results and Discussion
    4.1. Descriptive Statistics
    4.2. Correlation Matrix
    4.3. Results of EGARCH Model
5. Conclusion
References

• Tariq AZIZ(Assistant Professor of Finance and Accounting, Sukkur IBA University, Sukkur, Pakistan) Corresponding Author
• Jahanzeb MARWAT(Sukkur IBA University, Sukkur, Pakistan.)
• Sheraz MUSTAFA(Assistant Professor of Economics, Sukkur IBA University, Sukkur, Pakistan.)
• Vikesh KUMAR(Sukkur IBA University, Sukkur, Pakistan.)