Dynamic interdependence between volatility of Shariah stock and bond

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...

Full description

Bibliographic Details
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

Similar Items

Dynamic Interdependence between volatility of Shariah stock and bond
by: Aminah Shari, et al.
Published: (2023)

Revisiting the dynamic relationship between exchange rates and stock prices in BRICS countries: a wavelet analysis
by: Dahir, Ahmed Mohamed, et al.
Published: (2018)

Interdependence among emerging Asian stock markets.
by: Koh, Hock Ghee.
Published: (2008)

Crash dynamics of interdependent networks
by: Li, Jie, et al.
Published: (2020)

The relationship between price volatility, maturity and volume of trade of the Malaysian bond market
by: Yakob, Rubayah, et al.
Published: (2002)

An analysis of co-movement in equity sector indices
by: Shari, Aminah, et al.
Published: (2021)

Mutual fund characteristics, risk governance and fund performance in Asean market: a conceptual framework
by: Shari, Aminah, et al.
Published: (2019)

Diversification of risk in Malaysian capital market analysis using composite and shariah market index performances
by: Shari, Aminah
Published: (2021)

The dynamic relationship between trading volume, stock return, and volatility-domestic and cross-country: South Asian markets
by: Miseman, M. R., et al.
Published: (2019)

Economic interdependence between Singapore and Malaysia.
by: Lee, Jane Jen Jen., et al.
Published: (2008)

Open market repurchases and firm stock return variation: evidence in Malaysia stock market
by: Chee, Chong Meng, et al.
Published: (2017)

Interdependence of selected stock market in Southeast Asia / Amirul Naim Azmi
by: Azmi, Amirul Naim
Published: (2020)

Sensitivity on stock returns and volatility: the case of Shari’ah-compliant securities in Bursa Malaysia / Roslina Mohamad Shaft
by: Shaft, Roslina Mohamad
Published: (2011)

The relationship between stock market volatility and macroeconomics volatility in Malaysia / Mohammad Izzat Azahar
by: Azahar, Mohammad Izzat
Published: (2015)

Economic interdependence between Japan and rest of Asia.
by: Sion, Hui Chin., et al.
Published: (2008)

Relationship between stock market returns and exchangerates in emerging stock markets
by: Arshad, M. N., et al.
Published: (2016)

Dynamic capital structure in Indonesia: does the education and experience of CEOs matter?
by: Chua, Meishan, et al.
Published: (2022)

Bond Fund Versus Islam Bond Fund: A Comparison of the Performance of Fixed Income Funds in Malaysia
by: Aminah Shari, et al.
Published: (2023)

Effect of stock price informativeness on timing of share repurchases
by: Chee, Chong Meng, et al.
Published: (2018)

Issues and trends of portfolio diversification
by: Shari, Aminah, et al.
Published: (2019)

Bond yields, liquidity and volatility in the Malaysian treasury bond markets.
by: Cheng, Fan Fah, et al.
Published: (2012)

A Comparative analysis between shariah-compliant & non-Shariah compliant stocks / Nurul Syakirah Rifin ... [et al.]
by: Rifin, Nurul Syakirah, et al.
Published: (2019)

Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach
by: Abdul Hadi, Abdul Razak, et al.
Published: (2013)

Dynamics of stock markets interdependence in the pre-and post global financial crisis period: evidence from Toda-Yamamoto causality test
by: Yola, Abdul-Nasir, et al.
Published: (2018)

Interdependence among nine asian stock markets before & during the Asian economic crisis.
by: Ong, Cindy Jing Yin., et al.
Published: (2008)

ASEAN-5+3 and US stock markets interdependence before, during and after Asian financial crisis
by: R. C., Royfaizal, et al.
Published: (2009)

The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets
by: Abduh, Muhamad, et al.
Published: (2013)

Return and volatility spillovers between the US, Japanese and Malaysian stock markets
by: Lida Nikmanesh,, et al.
Published: (2014)

Economic interdependence and security.
by: Lee, Keng Min.
Published: (2008)

Interdependence of death and the plot.
by: Phoong, Kai Wen.
Published: (2011)

Contagion, Spillover, and Interdependence
by: Rigobón, Roberto
Published: (2021)

The dynamic stock returns volatility and macroeconomic factors in Malaysia: A sectoral study
by: Saizal Pinjaman, et al.
Published: (2015)

The use of fuzzy measures in estimating the interdependences between academic subjects
by: Mat Kasim, Maznah, et al.
Published: (2013)

Shariah vs non-shariah IPO underpricing: evidence from Indonesia Stock Exchange
by: Hanafi, Syafiq Mahmadah, et al.
Published: (2022)

International Interdependencies Of Stock Markets: How Influential Are Well-Established Exchanges In Affecting Movements On The Klse?
by: Abdullah, Mat Saad, et al.
Published: (2001)

Forecasting Malaysian stock market volatility
by: Ng, Chee Pung, et al.
Published: (2012)

Interdependence between China and Japan economy : the effects of the Senkaku/Diaoyu conflict.
by: Chen, Zhou., et al.
Published: (2013)

Interdependency in three Beckettian plays
by: Chiang, Michelle Hui Ling
Published: (2009)

Causal relationship between the volatility of stock market and selected macroeconomic variables: case of Malaysia
by: Lida Nikmanesh,, et al.
Published: (2014)

The real exchange rate-foreign direct investment controversy in South Africa: an application of ARDL approach
by: Dahir, Ahmed Mohamed, et al.
Published: (2017)