Volatility Linkages and Co-movements Between International Stocks and the Sukuk Market

Andrea Paltrinieri, Alberto Dreassi, Stefano Miani, Alex Sclip

Risultato della ricerca: Contributo in libroChapter

Abstract

In this paper, we investigate the volatility behavior and the co-movements between sukuk and international stock indexes. Asymmetric multivariate GARCH models with dynamic conditional correlations (DCC) were estimated under student-t distribution. We provide evidence of lower correlations between sukuk and US and EU stock markets. We also show that volatility linkages between sukuk and regional market indexes are higher during financial crisis. We argue that investors could obtain diversification benefits including sukuk in a well-diversified portfolio, given their lower volatility compared to equity. But higher volatility linkages and dynamic correlations during financial crises show that they are hybrid instruments between bonds and equity. Our findings are relevant for institutional investors and asset managers that include Islamic bonds in a diversified portfolio.
Lingua originaleEnglish
Titolo della pubblicazione ospiteBank Funding, Financial Instruments and Decision-Making in the Banking Industry
EditorSantiago, Cuadros Solas, Pedro Jesús, Rodríguez Fernández, Francisco Carbó Valverde
Pagine31-61
Numero di pagine31
DOI
Stato di pubblicazionePubblicato - 2016

Keywords

  • Islamic finance
  • sukuk

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