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Dynamic interdependence between volatility of Shariah stock and bond

The purpose of this research is to investigate the correlation between bond yields and the Shariah equity index from 2007 to 2019. The Multivariate-GARCH Dynamic Conditional Correlation (DCC) model is applied to the daily data indices of five bond markets, namely conventional bond, corporate bond, c...

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Main Authors: Shari, Aminah, Mahat, Fauziah, Ab Razak, Nazrul Hisyam, Yahya, Mohamed Hisham
Format: Article
Language:English
Published: Human Resource Management Academic Research Society 2023
Online Access:http://psasir.upm.edu.my/id/eprint/107422/1/107422.pdf
http://psasir.upm.edu.my/id/eprint/107422/
https://hrmars.com/index.php/IJARAFMS/article/view/14814/Dynamic-Interdependence-Between-Volatility-of-Shariah-Stock-and-Bond
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spelling my.upm.eprints.1074222024-10-21T01:46:30Z http://psasir.upm.edu.my/id/eprint/107422/ Dynamic interdependence between volatility of Shariah stock and bond Shari, Aminah Mahat, Fauziah Ab Razak, Nazrul Hisyam Yahya, Mohamed Hisham The purpose of this research is to investigate the correlation between bond yields and the Shariah equity index from 2007 to 2019. The Multivariate-GARCH Dynamic Conditional Correlation (DCC) model is applied to the daily data indices of five bond markets, namely conventional bond, corporate bond, corporate sukuk, government bond, and government sukuk, as well as the daily index of the Islamic equity market, which is represented by FTSE Bursa Malaysia EMAS Shariah. The empirical evidence reveals a substantial correlation between these sharia stock and sukuk indexes, demonstrating that investors' risk tolerance fluctuates over time. Co-movement power fluctuates throughout time, and the government bond is dominant. Human Resource Management Academic Research Society 2023-08-24 Article PeerReviewed text en cc_by_4 http://psasir.upm.edu.my/id/eprint/107422/1/107422.pdf Shari, Aminah and Mahat, Fauziah and Ab Razak, Nazrul Hisyam and Yahya, Mohamed Hisham (2023) Dynamic interdependence between volatility of Shariah stock and bond. International Journal of Academic Research in Accounting, Finance and Managment Sciences, 13 (3). 16 - 26. ISSN 2225-8329; eISSN: 2308-0337 https://hrmars.com/index.php/IJARAFMS/article/view/14814/Dynamic-Interdependence-Between-Volatility-of-Shariah-Stock-and-Bond 10.6007/ijarafms/v13-i3/14814
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description The purpose of this research is to investigate the correlation between bond yields and the Shariah equity index from 2007 to 2019. The Multivariate-GARCH Dynamic Conditional Correlation (DCC) model is applied to the daily data indices of five bond markets, namely conventional bond, corporate bond, corporate sukuk, government bond, and government sukuk, as well as the daily index of the Islamic equity market, which is represented by FTSE Bursa Malaysia EMAS Shariah. The empirical evidence reveals a substantial correlation between these sharia stock and sukuk indexes, demonstrating that investors' risk tolerance fluctuates over time. Co-movement power fluctuates throughout time, and the government bond is dominant.
format Article
author Shari, Aminah
Mahat, Fauziah
Ab Razak, Nazrul Hisyam
Yahya, Mohamed Hisham
spellingShingle Shari, Aminah
Mahat, Fauziah
Ab Razak, Nazrul Hisyam
Yahya, Mohamed Hisham
Dynamic interdependence between volatility of Shariah stock and bond
author_facet Shari, Aminah
Mahat, Fauziah
Ab Razak, Nazrul Hisyam
Yahya, Mohamed Hisham
author_sort Shari, Aminah
title Dynamic interdependence between volatility of Shariah stock and bond
title_short Dynamic interdependence between volatility of Shariah stock and bond
title_full Dynamic interdependence between volatility of Shariah stock and bond
title_fullStr Dynamic interdependence between volatility of Shariah stock and bond
title_full_unstemmed Dynamic interdependence between volatility of Shariah stock and bond
title_sort dynamic interdependence between volatility of shariah stock and bond
publisher Human Resource Management Academic Research Society
publishDate 2023
url http://psasir.upm.edu.my/id/eprint/107422/1/107422.pdf
http://psasir.upm.edu.my/id/eprint/107422/
https://hrmars.com/index.php/IJARAFMS/article/view/14814/Dynamic-Interdependence-Between-Volatility-of-Shariah-Stock-and-Bond
_version_ 1814054632114094080
score 13.211869

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