Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises / Amir Saadaouia and Younes Boujelbene

In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the transmission of volatility between the Dow Jones s...

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Main Author:	Boujelbene, Younes
Format:	Article
Language:	English
Published:	Faculty of Business and Management 2015
Subjects:	Finance, Islamic
Online Access:	http://ir.uitm.edu.my/id/eprint/12368/ http://ir.uitm.edu.my/id/eprint/12368/2/AJ_AMIR%20SAADAOUI%20JEEIR%2015.pdf

id	uitm-12368
recordtype	eprints
spelling	uitm-123682019-03-12T03:02:42Z http://ir.uitm.edu.my/id/eprint/12368/ Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises / Amir Saadaouia and Younes Boujelbene Boujelbene, Younes Finance, Islamic In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the transmission of volatility between the Dow Jones stock index and the Dow Jones emerging Islamic stock indiex. In this study we have divided the period into three, periods, before, during and after this crisis to demonstrate the resilience of the Islamic market index in response to the global financial crisis. Another aim of this study is to provide a new guide line for investors in emerging stock market before making investment decisions. The data are daily, going from 02/01/2005 until 31/12/2012. To measure the transmission we used bivariate BEKK-GARCH and DCC-GARCH model. The result shows that there is a transmission mainly during the crisis period which means that the crisis affects all the financial assets whether Islamic or not. The same result also shows the preference to invest in both Islamic and classical stock indexes since they are less risky. Keywords: Volatility transmission, DJ Index, Islamic DJ Emerging Index, Subprime crisis. Faculty of Business and Management 2015 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/12368/2/AJ_AMIR%20SAADAOUI%20JEEIR%2015.pdf Boujelbene, Younes (2015) Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises / Amir Saadaouia and Younes Boujelbene. Journal of Emerging Economies and Islamic Research (JEEIR), 3 (1). pp. 1-9. ISSN 2289-2559
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
topic	Finance, Islamic
spellingShingle	Finance, Islamic Boujelbene, Younes Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises / Amir Saadaouia and Younes Boujelbene
description	In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the transmission of volatility between the Dow Jones stock index and the Dow Jones emerging Islamic stock indiex. In this study we have divided the period into three, periods, before, during and after this crisis to demonstrate the resilience of the Islamic market index in response to the global financial crisis. Another aim of this study is to provide a new guide line for investors in emerging stock market before making investment decisions. The data are daily, going from 02/01/2005 until 31/12/2012. To measure the transmission we used bivariate BEKK-GARCH and DCC-GARCH model. The result shows that there is a transmission mainly during the crisis period which means that the crisis affects all the financial assets whether Islamic or not. The same result also shows the preference to invest in both Islamic and classical stock indexes since they are less risky. Keywords: Volatility transmission, DJ Index, Islamic DJ Emerging Index, Subprime crisis.
format	Article
author	Boujelbene, Younes
author_facet	Boujelbene, Younes
author_sort	Boujelbene, Younes
title	Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises / Amir Saadaouia and Younes Boujelbene
title_short	Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises / Amir Saadaouia and Younes Boujelbene
title_full	Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises / Amir Saadaouia and Younes Boujelbene
title_fullStr	Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises / Amir Saadaouia and Younes Boujelbene
title_full_unstemmed	Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises / Amir Saadaouia and Younes Boujelbene
title_sort	volatility transmission between dow jones stock index and emerging islamic stock index : case of subprime financial crises / amir saadaouia and younes boujelbene
publisher	Faculty of Business and Management
publishDate	2015
url	http://ir.uitm.edu.my/id/eprint/12368/ http://ir.uitm.edu.my/id/eprint/12368/2/AJ_AMIR%20SAADAOUI%20JEEIR%2015.pdf
first_indexed	2023-09-18T22:49:08Z
last_indexed	2023-09-18T22:49:08Z
_version_	1777417425659101184

Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises / Amir Saadaouia and Younes Boujelbene

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