THE DYNAMICS OF THE DOW JONES SUKUK VOLATILITY: EVIDENCE FROM EGARCH MODEL

Nadhem Selmi (), Mohamed Fakhfekh () and Marwa BEN Salem ()
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Nadhem Selmi: University of Sfax, Sfax, Tunisia
Mohamed Fakhfekh: University of Sfax, Sfax, Tunisia
Marwa BEN Salem: University of Sfax, Sfax, Tunisia

Business Excellence and Management, 2015, vol. 5, issue 2, 94-101

Abstract: This paper aims to test the effect of asymmetric shocks on the volatility of the Dow Jones Sukuk. To this end, we applied the EGARCH model to give a clear idea of the effect of asymmetric shocks on the volatility of the sukuk. Considering the daily returns of the Dow Jones Sukuk for the period from 09/06/2009 to 31/12/2013, our results suggest that the volatility of the 2009-2010 period is very sensitive to market events over the period 2010-2013 and positive shocks are more volatile than negative one. The results have important implications for the sukuk market. This result can be explained by the good transparency, disclosure and better incentives that make investors expand their business in the market for sukuk.

Keywords: EGARCH; Asymmetry of shocks; Dow Jones sukuk (search for similar items in EconPapers)
JEL-codes: A1 A2 B4 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:rom:bemann:v:5:y:2015:i:2:p:94-101

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