Modeling dependence structure between stock market volatility and sukuk yields: A nonlinear study in the case of Saudi Arabia

Nader Naifar

Borsa Istanbul Review, 2016, vol. 16, issue 3, 157-166

Abstract: The aim of this paper is to investigate the dependence structure between sukuk (Islamic bonds) yields and stock market (returns and volatility) in the case of Saudi Arabia. We consider three Archimedean copula models with different tail dependence structures namely Gumbel, Clayton, and Frank. This study shows that the sukuk yields exhibit significant dependence only with stock market volatility. In addition, the dependence structure between sukuk yields and stock market volatility are symmetric and linked with the same intensity.

Keywords: Sukuk; Conditional volatility; GARCH; Dependence; Copula (search for similar items in EconPapers)
JEL-codes: G02 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:bor:bistre:v:16:y:2016:i:3:p:157-166

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