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Islamic vs Conventional Canadian stock markets : what difference ?

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  • NEIFAR, MALIKA

Abstract

This study empirically assesses the relationship between inflation and stock return in conventional and Islamic Canadian stock markets. The study has covered monthly data for the period 2004:M08−2018 :M4 of canadian economy. We propose a multivariate X-MGARCH or X- MGARCH-X volatility model to assess the dependence of Conventional and Islamic canadian stock market returns on inflation (expected and/or unexpected inflation) and volatility dynamic interdependence of returns (first and second moments). We also examine the constant and dynamic of conditional correlation in both stock market. The main result supports the hypotheses of constant conditional correlation (CCC) and Fisher hypothesis for Islamic canadian stock market. While the Conventional stock market is an efficient one. The volatility spillover is examined estimating an X-DVECH model. The dynamic conditional correlation (DCC) provides evidence of cross border relationship within stocks. We do find also evidence of negative (positive) significant effect of inflation on Islamic (conventional) stock market return volatility.

Suggested Citation

  • Neifar, Malika, 2020. "Islamic vs Conventional Canadian stock markets : what difference ?," MPRA Paper 99608, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:99608
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    References listed on IDEAS

    as
    1. Chatrath, Arjun & Ramchander, Sanjay & Song, Frank, 1996. "Stock prices, inflation and output: Evidence from India," Journal of Asian Economics, Elsevier, vol. 7(2), pages 237-245.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Conventional /Islamic Canadian stock return; Conditional Correlations (CC); Dynamic CC (DCC) and Constant CC models (CCC); Fisher hypothesis; MGARCH -DVECH model; X-MGARCH and X-MGARCH-X models.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G00 - Financial Economics - - General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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