Diagnostic of Innovations and Volatility Persistence in Emerging Markets Evidence from Sukuk and Stock Indices

International Journal of Islamic Business and Economics (IJIBEC)

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