International Journal of Islamic Business and Economics (IJIBEC) | |
Diagnostic of Innovations and Volatility Persistence in Emerging Markets Evidence from Sukuk and Stock Indices | |
Seyf Eddine Benbakhti1  Hadjer Boulila1  Widad Metadjer1  | |
[1] Djilali Liabes university, Algeria; | |
关键词: volatility; sukuk; stockmarket; financial crisis; bekk-garch; | |
DOI : https://doi.org/10.28918/ijibec.v4i2.2355 | |
来源: DOAJ |
【 摘 要 】
Thispaper analysisthepersistenceofshockandvolatilityofbothIslamicand conventionalfinancialmarkets,aswellasthenaturalcorrelationbetween thosemarkets.Thisstudyused the BivariateBEKK-GARCH(1,1)modelto examinethepersistenceofshockandvolatilitybasedonthedailypricesin DubaiIslamicCapitalMarket(Sukukindex)andconventionalStockMarket (DFM index). The results showed that both Sukukand stock market indices were affected by their own news, while the volatility was persistent duringthe periodof this research.The study also found a negative correlation between pricesin both SukukandStockmarketsduringtheDubaidebtcrisisindicatingthat Islamic bonds were considered as a good portfolio diversifier. This study definesthenaturalcorrelationbetweenthedailypricesofboth Sukukandstock market,unliketheotherstudieswhichusedreturns.Inaddition, theempirical results mightbevaluableforinvestorsandmarketmakerstoensureagood portfolio diversification strategy
【 授权许可】
Unknown