The main purpose of the study is find the dynamic linkages of the Islamic (Banks which follow Sharia’s Laws) and conventional Banks (which follow the central bank). The study is also made to find the spillover effect of conventional and Islamic banks of Malaysia. First we elicited that there is volatility in the data and to handle this volatility ARCH and GARCH models are used. Time series data of consecutive 7 years was used from January, 2009 to December, 2016. Purely random sampling is used in selection of those conventional and Islamic banks who were listed in security exchange commission of Malaysia. Sampling of the Islamic and Conventional banks was purely random but they were all listed in security exchange commission of Malaysia. Data of five banks were taken from each sector (Islamic and Conventional). Results shows that risk and return of Islamic banks is clearly higher than its counterpart Conventional banks and the performance of the Islamic banks is significantly better than conventional banks. Finally it is found that Islamic banking is better than Conventional banks for investment. Supervisor:- Dr. Saud Ahmed Khan