Dynamic Interdependence between volatility of Shariah stock and bond

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

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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.

Item Type:	Article
Keyword:	Interdependence, Stock, Bond, Multivariate-GARCH, Investment
Subjects:	B Philosophy. Psychology. Religion > BP Islam. Bahaism. Theosophy, etc > BP1-610 Islam. Bahai Faith. Theosophy, etc. > BP1-253 Islam > BP173.25-173.45 Islamic sociology
Department:	FACULTY > Labuan Faculty of International Finance
Depositing User:	DG MASNIAH AHMAD -
Date Deposited:	05 Dec 2023 12:18
Last Modified:	05 Dec 2023 12:18
URI:	https://eprints.ums.edu.my/id/eprint/37696

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