Dynamic Interdependence Between Volatility of Shariah Stock and Bond
نویسندگان
چکیده
The purpose of this research is to investigate the correlation between bond yields and Shariah equity index from 2007 2019. Multivariate-GARCH Dynamic Conditional Correlation (DCC) model applied daily data indices five markets, namely conventional bond, corporate sukuk, government as well Islamic market, which represented by FTSE Bursa Malaysia EMAS Shariah. empirical evidence reveals a substantial these sharia stock sukuk indexes, demonstrating that investors' risk tolerance fluctuates over time. Co-movement power throughout time, dominant.
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ژورنال
عنوان ژورنال: International journal of academic research in accounting, finance and management sciences
سال: 2023
ISSN: ['2308-0337', '2225-8329']
DOI: https://doi.org/10.6007/ijarafms/v13-i3/14814