Islamic vs Conventional Canadian stock markets: what difference ?

Malika Neifar

MPRA Paper from University Library of Munich, Germany

Abstract: This study empirically assesses the relationship between inflation and stock return in conventional and Islamic Canadian stock markets. The study has covered monthly data for the period 2004:M08−2018 :M4 of canadian economy. We propose a multivariate X-MGARCH or X- MGARCH-X volatility model to assess the dependence of Conventional and Islamic canadian stock market returns on inflation (expected and/or unexpected inflation) and volatility dynamic interdependence of returns (first and second moments). We also examine the constant and dynamic of conditional correlation in both stock market. The main result supports the hypotheses of constant conditional correlation (CCC) and Fisher hypothesis for Islamic canadian stock market. While the Conventional stock market is an efficient one. The volatility spillover is examined estimating an X-DVECH model. The dynamic conditional correlation (DCC) provides evidence of cross border relationship within stocks. We do find also evidence of negative (positive) significant effect of inflation on Islamic (conventional) stock market return volatility.

Keywords: Conventional /Islamic Canadian stock return; Conditional Correlations (CC); Dynamic CC (DCC) and Constant CC models (CCC); Fisher hypothesis; MGARCH -DVECH model; X-MGARCH and X-MGARCH-X models. (search for similar items in EconPapers)
JEL-codes: C22 G00 G11 G14 (search for similar items in EconPapers)
Date: 2020-04-13
New Economics Papers: this item is included in nep-isf and nep-ore
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