Citation
Shari, Aminah and Mahat, Fauziah and Ab Razak, Nazrul Hisyam and Yahya, Mohamed Hisham
(2023)
Dynamic interdependence between volatility of Shariah stock and bond.
International Journal of Academic Research in Accounting, Finance and Managment Sciences, 13 (3).
16 - 26.
ISSN 2225-8329; eISSN: 2308-0337
Abstract
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, corporate sukuk, government bond, and government sukuk, as well as the daily index of the Islamic equity market, which is represented by FTSE Bursa Malaysia EMAS Shariah. The empirical evidence reveals a substantial correlation between these sharia stock and sukuk indexes, demonstrating that investors' risk tolerance fluctuates over time. Co-movement power fluctuates throughout time, and the government bond is dominant.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | School of Business and Economics |
| DOI Number: | https://doi.org/10.6007/ijarafms/v13-i3/14814 |
| Publisher: | Human Resource Management Academic Research Society |
| Keywords: | Interdependence; Stock; Bond; Multivariate-GARCH; Investment; Decent work and economic growth; Quality education |
| Depositing User: | Ms. Nur Faseha Mohd Kadim |
| Date Deposited: | 21 Oct 2024 01:46 |
| Last Modified: | 21 Oct 2024 01:46 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.6007/ijarafms/v13-i3/14814 |
| URI: | http://psasir.upm.edu.my/id/eprint/107422 |
| Statistic Details: | View Download Statistic |
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