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...
Saved in:
Main Authors: | , , , |
---|---|
Format: | Article |
Language: | English English |
Published: |
Human Resource Management Academic Research Society
2023
|
Subjects: | |
Online Access: | https://eprints.ums.edu.my/id/eprint/37696/1/ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/37696/2/FULLTEXT.pdf https://eprints.ums.edu.my/id/eprint/37696/ http://dx.doi.org/10.6007/IJARAFMS/v13-i3/14814 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
id |
my.ums.eprints.37696 |
---|---|
record_format |
eprints |
spelling |
my.ums.eprints.376962023-12-05T04:18:38Z https://eprints.ums.edu.my/id/eprint/37696/ Dynamic Interdependence between volatility of Shariah stock and bond Aminah Shari Fauziah Mahat Nazrul Hisyam Ab Razak Mohamed Hisham Dato’ Hj. Yahya BP173.25-173.45 Islamic sociology 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. Human Resource Management Academic Research Society 2023-08-17 Article NonPeerReviewed text en https://eprints.ums.edu.my/id/eprint/37696/1/ABSTRACT.pdf text en https://eprints.ums.edu.my/id/eprint/37696/2/FULLTEXT.pdf Aminah Shari and Fauziah Mahat and Nazrul Hisyam Ab Razak and Mohamed Hisham Dato’ Hj. Yahya (2023) Dynamic Interdependence between volatility of Shariah stock and bond. International Journal of Academic Research in Accounting, Finance and Management Sciences, 13 (3). pp. 16-26. ISSN 2225-8329 http://dx.doi.org/10.6007/IJARAFMS/v13-i3/14814 |
institution |
Universiti Malaysia Sabah |
building |
UMS Library |
collection |
Institutional Repository |
continent |
Asia |
country |
Malaysia |
content_provider |
Universiti Malaysia Sabah |
content_source |
UMS Institutional Repository |
url_provider |
http://eprints.ums.edu.my/ |
language |
English English |
topic |
BP173.25-173.45 Islamic sociology |
spellingShingle |
BP173.25-173.45 Islamic sociology Aminah Shari Fauziah Mahat Nazrul Hisyam Ab Razak Mohamed Hisham Dato’ Hj. Yahya Dynamic Interdependence between volatility of Shariah stock and bond |
description |
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. |
format |
Article |
author |
Aminah Shari Fauziah Mahat Nazrul Hisyam Ab Razak Mohamed Hisham Dato’ Hj. Yahya |
author_facet |
Aminah Shari Fauziah Mahat Nazrul Hisyam Ab Razak Mohamed Hisham Dato’ Hj. Yahya |
author_sort |
Aminah Shari |
title |
Dynamic Interdependence between volatility of Shariah stock and bond |
title_short |
Dynamic Interdependence between volatility of Shariah stock and bond |
title_full |
Dynamic Interdependence between volatility of Shariah stock and bond |
title_fullStr |
Dynamic Interdependence between volatility of Shariah stock and bond |
title_full_unstemmed |
Dynamic Interdependence between volatility of Shariah stock and bond |
title_sort |
dynamic interdependence between volatility of shariah stock and bond |
publisher |
Human Resource Management Academic Research Society |
publishDate |
2023 |
url |
https://eprints.ums.edu.my/id/eprint/37696/1/ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/37696/2/FULLTEXT.pdf https://eprints.ums.edu.my/id/eprint/37696/ http://dx.doi.org/10.6007/IJARAFMS/v13-i3/14814 |
_version_ |
1784513275890761728 |
score |
13.18916 |