Article ID Journal Published Year Pages File Type
6481266 Research in International Business and Finance 2017 17 Pages PDF
Abstract

•We use univariate and multivariate GARCH type models to study the dynamic relationship between Islamic and conventional stock markets.•The DCC-FIAPARCH is the best framework to model the dynamic conditional correlation between the two markets.•We find the presence of asymmetry and long memory in the conditional variances of all the considered series.•Introducing Islamic indices in a conventional stock portfolio increases the risk-adjusted performance of the resulting portfolio.

In this paper we study the dynamic relationship between Islamic and conventional stock markets. We use six Dow Jones Islamic indices and their conventional counterparts. We adopt both univariate and multivariate GARCH type models for the period 2000-2014. The findings show that the DCC-FIAPARCH is the best to model conditional heteroskedsticity among three multivariate GARCH specifications.

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Related Topics
Social Sciences and Humanities Business, Management and Accounting Business and International Management
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Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory
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