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Diagnostic of Innovations and Volatility Persistence in Emerging Markets Evidence from Sukuk and Stock Indices

Thispaper analysisthe persistence of shock and volatility of both Islamic and conventional financial markets, as well as the natural correlation between those markets. This study used the Bivariate BEKK-GARCH(1,1) model to examine the persistence of shock and volatilit...

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Principais autores: Widad Metadjer, Seyf Eddine Benbakhti, Hadjer Boulila
פורמט: Artigo
שפה:Inglês
יצא לאור: Faculty of Islamic Economics and Business - Universitas Islam Negeri K.H. Abdurrahman Wahid Pekalongan 2020-12-01
סדרה:International Journal of Islamic Business and Economics (IJIBEC)
נושאים:
volatility
sukuk
stock market
financial crisis
bekk-garch
גישה מקוונת:http://e-journal.iainpekalongan.ac.id/index.php/IJIBEC/article/view/2355/1765
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