The Sharia Stock, MGS, and Sukuk GII of Islam Finance

• 발행기관: 한국자료분석학회
• 저자명: Hong-Bae Kim Sang Hoon Kang Myoung-Jong Kim
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.15 No.3, 1211~1225쪽, 전체 15쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2013.06.30

영문 초록

This paper empirically investigates the price discovery and volatility spillover effects between the Sharia stock, Sukuk, and bond markets in Malaysia. The transmission mechanisms of volatility between the stock and bond markets have drawn the attention of numerous academics and practitioners. However, there has been no consensus on the evidence of volatility spillover between the stock and bond markets in previous studies. We examine the volatility linkages between the stock and bond markets in Malaysia using a VAR-bivariate-GARCH model during the recent financial crisis and a VECM-bivariate GARCH model after the crisis. The estimation results of the GARCH-BEKK model suggest that there was a unidirectional volatility spillover from the Sukuk GII market to the Sharia stock market during the financial crisis, implying that the Sukuk market has a strong influence on the stock market, but not vice versa. However, we find no volatility spillover effect between the MGS Bond and the Sharia stock market after the financial crisis.

목차

1. Introduction

2. Literature Reviews

3. Methodology

4. Data and Descriptive Statistics

5. Empirical Results

6. Conclusions

References

키워드

Volatility transmission Causality Islam finane Spillover effect