Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory

Imen Khanchel El Mehdi and Asma Mghaieth

Research in International Business and Finance, 2017, vol. 39, issue PA, 595-611

Abstract: In this paper we study the dynamic relationship between Islamic and conventional stock markets. We use six Dow Jones Islamic indices and their conventional counterparts. We adopt both univariate and multivariate GARCH type models for the period 2000–2014. The findings show that the DCC-FIAPARCH is the best to model conditional heteroskedsticity among three multivariate GARCH specifications.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531916300708
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:39:y:2017:i:pa:p:595-611

DOI: 10.1016/j.ribaf.2016.04.006

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().