 Time-varying correlation between islamic stock indices: evidence from the GCC countries based on MGARCH-DCC approachMona Yousef and Abul Masih MPRA Paper from University Library of Munich, Germany Abstract: The paper makes an attempt to investigate the portfolio diversification opportunities available within the Islamic stock indices in the GCC countries. That requires the estimation of the time-varying variances of and covariances between the daily returns of the GCC Islamic stock indices. Hence the method used is the recent multivariate GARCH-DCC which takes care of their time-varying relationships. The findings tend to indicate that the unconditional volatility of the GCC stock returns are very low which may indicate that the reruns are stable and the risk is very low. However, the VaR estimator shows that the risk was rising dramatically since 2011, probably due to the political instability during this period. The time-varying conditional correlation between the stock returns of these countries appears to be low in general which provides an advantage to the investors interested in investing in the GCC financial markets. That means it provides more stable returns with low correlation between the stock returns and thus less risky. The results also indicate lower level of integration between the GCC stock markets. Keywords: Islamic stock indices; GCC; time-varying correlation; MGARCH-DCC (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:100986 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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