Dynamic Interdependence between volatility of Shariah stock and bond

• Main Authors: Aminah Shari, Fauziah Mahat, Nazrul Hisyam Ab Razak, Mohamed Hisham Dato’ Hj. Yahya
• Format: Article
• Language: English; English
• Published: Human Resource Management Academic Research Society 2023
• Subjects: BP173.25-173.45 Islamic sociology
• 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

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...