Dynamic interdependence between volatility of Shariah stock and bond

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Dynamic interdependence between volatility of Shariah stock and bond

The purpose of this research is to investigate the correlation between bond yields and the Shariah equity index from 2007 to 2019. The Multivariate-GARCH Dynamic Conditional Correlation (DCC) model is applied to the daily data indices of five bond markets, namely conventional bond, corporate bond, c...

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Bibliographic Details
Main Authors:	Shari, Aminah, Mahat, Fauziah, Ab Razak, Nazrul Hisyam, Yahya, Mohamed Hisham
Format:	Article
Language:	English
Published:	Human Resource Management Academic Research Society 2023
Online Access:	http://psasir.upm.edu.my/id/eprint/107422/ http://psasir.upm.edu.my/id/eprint/107422/1/107422.pdf

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