portfolio management with Islam Equity in Korea stock market

Hong-Bae Kim ()
Additional contact information
Hong-Bae Kim: Dongseo University

No 4006501, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: This paper investigated the volatility spillover effects between Islamic stock markets and Korean stock market using the AR-DCC-GARCH models. First, we found bi-directional volatility transmissions between the Islamic and Korean financial markets Second, we compared the correlation of KOSPI-DJIM portfolio and that of KOSPI-SHX portfolio. It shows the correlation of KOSPI-DJIM portfolio has stronger linkage than that of KOSPI-SHX portfolio. In the portfolio perspective, the S&P 500 Sharia stock Index(SHX) acts as a better hedge asset than DJIM against the risk of stock market. Last, The hedge ratio between two Islamic stock market and Korean stock market pairs is generally low, indicating that the Korean stock risk can be effectively hedged by taking a short position in the Islamic stock markets. In comparison with two pairs, the pair of KOSPI-SHX relatively shows a cheaper hedging cost than that of KOSP-DJIM pair. This evidence indicates that S&P 500 Sharia index serve more effective hedging role against the risk of Korean stock market.

Keywords: Islamic market; hedge ratio; AR-DCC-GARCH model (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Pages: 1 page
Date: 2016-08
New Economics Papers: this item is included in nep-fmk and nep-rmg
References: Add references at CitEc
Citations:

Published in Proceedings of the Proceedings of the 24th International Academic Conference, Barcelona, Aug 2016, pages 200-200

Downloads: (external link)
https://iises.net/proceedings/24th-international-a ... =40&iid=048&rid=6501 First version, 2016

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:sek:iacpro:4006501

Access Statistics for this paper

More papers in Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences
Bibliographic data for series maintained by Klara Cermakova ().