Estimation of dynamic conditional correlations of Shariah-compliant stock indices through the application of multivariate GARCH approach

QR Code

Estimation of dynamic conditional correlations of Shariah-compliant stock indices through the application of multivariate GARCH approach

A major issue in both Islamic finance and conventional finance is whether the shocks to the volatilities in the asset returns are substitutes or complements in terms of taking risk. An understanding of how volatilities of and correlations between asset returns change over time including their direct...

Full description

Bibliographic Details
Main Authors:	Saiti, Buerhan, Bacha, Obiyathulla Ismath, Masih, Mansur
Format:	Article
Language:	English English
Published:	INSI Publications 2013
Subjects:	HG4001 Financial management. Business finance. Corporation finance.
Online Access:	http://irep.iium.edu.my/44500/ http://irep.iium.edu.my/44500/1/259-267.pdf http://irep.iium.edu.my/44500/4/AJBAS_5_259-267.pdf

Similar Items

Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis
by: Saiti, Buerhan
Published: (2014)

Stock market screening: An analogical study on conventional and shariah-compliant stock markets
by: Zandi, Gholamreza Reza, et al.
Published: (2014)

Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2003)

Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2003)

The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China?
by: Saiti, Buerhan, et al.
Published: (2016)

Does the corporate financing behaviour of shariah compliant firms differ from non-shariah compliant firms? An Indonesian empirical evidence
by: Haron, Razali, et al.
Published: (2016)

A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility
by: Islam, Mohd Aminul
Published: (2014)

Capital structure determinants of Shariah-compliant firms: Malaysian evidence
by: Sahudin, Zahariah, et al.
Published: (2015)

Islamic capital market and debt financing of Shariah-compliant firms in Indonesia
by: Haron, Razali, et al.
Published: (2016)

Investigating firm and country specifics in pursuing optimality. Shariah compliant securities in Malaysia
by: Haron, Razali
Published: (2013)

Islamic banking and finance in South-East Asia: its development and future (3rd ed.). By Angelo M. Venardos. Singapore: World Scientific Publishing, 2012, pp. 235, ISBN: 978-981-4350-42-6.
by: Saiti, Buerhan
Published: (2015)

Target capital structure and speed of adjustment: Panel data evidence on Malaysia Shariah compliant securities
by: Haron, Razali, et al.
Published: (2012)

Corporate financing behaviour of shariah compliant E50 SMEs. A panel data approach of GMM
by: Haron, Razali
Published: (2016)

A network analysis of shariah-compliant stocks across global financial crisis: a case of Malaysia
by: Mahamood, Fatin Nur Amirah, et al.
Published: (2019)

Debt financing behaviour of Shariah compliant SMEs (enterprise 50). A dynamic approach on Malaysian Islamic capital market
by: Haron, Razali
Published: (2015)

The interactions between gold and shariah compliant equities:the application of wavelet and multivariate GARCH analysis
by: Shakil, Mohammad Hassan, et al.
Published: (2017)

Diversification in conventional and Islamic stock indices: evidence from Multivariate-GARCH analysis
by: Saiti, Buerhan, et al.
Published: (2017)

Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis
by: Bhuiyan, Rubaiyat Ahsan, et al.
Published: (2018)

The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors
by: Saiti, Buerhan, et al.
Published: (2014)

Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis
by: Saiti, Buerhan, et al.
Published: (2016)

Do 'Sin Stocks' deprive Islamic stock portfolios of diversification? Some insights from the Use of MGARCH-DCC
by: Mustaffa Kamil, Nazrol Kamil, et al.
Published: (2012)

Do sin stocks deprive Islamic stock portfolios of diversification? some insights from the use of MGARCH-DCC
by: Mustaffa Kamil, Nazrol Kamil, et al.
Published: (2012)

Are shariah-compliant structured products able to withstand global financial shocks? A new perspective on the performance of shariah-compliant structured investment-linked plans in Malaysia
by: Rahman, Maya Puspa, et al.
Published: (2017)

Is there a diversification “cost” of shari’ah compliance? empirical evidence from Malaysian equities
by: Mustaffa Kamil, Nazrol Kamil, et al.
Published: (2014)

The problems facing agricultural sector in Zanzibar and the prospects of Waqf-Muzar’ah-Supply Chain Model: the case of clove industry
by: Moh’d, Issa Salim, et al.
Published: (2017)

Sukuk issuance in China: trends and positive expectations
by: Bo, Ding, et al.
Published: (2016)

A wavelet-based approach to testing shari’ah-compliant stock market contagion:evidence from the ASEAN countries
by: Saiti, Buerhan, et al.
Published: (2013)

Performance of ESG versus Shariah compliant firms in Malaysia. A conceptual framework
by: Sheikh Idris, Moizer, et al.
Published: (2017)

Does the global Sukuk market offer any portfolio diversification opportunity for Indonesian investors?
by: Bhuiyan, Rubaiyat Ahsan, et al.
Published: (2016)

Does intense monitoring matter? A quantile regression approach
by: Shawtari, Fekri Ali, et al.
Published: (2017)

Islamic financial planning towards sustainable eco-growth
by: Billah, Md. Masum, et al.
Published: (2017)

Foreign exchange exposure and impact of policy switch - the case of Malaysian listed firms
by: Bacha, Obiyathulla Ismath, et al.
Published: (2013)

Information content and informativeness of the analyst report in Malaysia: Evidence from Sharīʿah-compliant shares
by: Thas Thaker, Hassanudin Mohd, et al.
Published: (2020)

Debt determinants of shariah approved firms: Empirical evidence from Malaysia
by: Ramli, Nurshamimitul Ezza, et al.
Published: (2016)

Prediction of stock price using neural network
by: Jalunis, Fatmawati, et al.
Published: (2011)

Towards the development of Sharī'ah compliant high quality liquid assets for Islamic financial institutions
by: Engku Ali, Engku Rabiah Adawiah, et al.
Published: (2017)

Shariah issue of warrant contract: empirical evidence from warrant mispricing in Malaysia market
by: Qizam, Ibnu, et al.
Published: (2013)

Islamic perspective of stock market an analysis based on Shari`ah principles
by: Osmani, Noor Mohammad, et al.
Published: (2009)

Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
by: Haron, Razali, et al.
Published: (2017)

The impact of GST implementation on the Malaysian stock market index volatility: an empirical approach
by: Haron, Razali, et al.
Published: (2018)