Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory

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• 作者：Imen Khanchel El Mehdi ; Asma Mghaieth ^{asmamghaieth@live.fr}
• 刊名：Research in International Business and Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：39
• 期：part_PA
• 页码：595-611
• 全文大小：1890 K
• 卷排序：39

文摘

We use univariate and multivariate GARCH type models to study the dynamic relationship between Islamic and conventional stock markets. The DCC-FIAPARCH is the best framework to model the dynamic conditional correlation between the two markets. We find the presence of asymmetry and long memory in the conditional variances of all the considered series. Introducing Islamic indices in a conventional stock portfolio increases the risk-adjusted performance of the resulting portfolio.