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Testing of Volatility Spillovers Dynamics and Network Connectedness between Islamic Indices of Regional Stock Markets

Author

Listed:
  • Kashif Hamid

    (Lecturer, Institute of Business Management sciences,University of Agriculture, Faisalabad, Punjab, Pakistan.)

  • Rana Shahid Imdad Akash

    (Assistant Professor,Commerce,University of the Punjab, Jhelum Campus, Punjab, Pakistan.)

  • Muhammad Mudassar Ghafoor

    (Assistant Professor, University of the Punjab, Jhelum Campus, Pakistan.)

Abstract

Volatility spillovers and market network connectedness is the most recent phenomena which prevails among the financial markets. The purpose of this research is to evaluate the volatility spillovers and connectedness among Islamic Stock indices of global (MSCI) and Islamic indices of the regional stock markets i.e., DJMI, FTSE, JKI and KMI during the period 01/07/ 2013 to 30/06/2018. We used EGARCH (Nelson 1991), DCC-GARCH, static and rolling- window analysis to investigate the effects of volatility spillovers and connectedness by Diebold and Yilmaz (2012, 2014) and Mensi et al. (2018) methodology. It is concluded that MSCI and FTSE are the net recipients of shocks whereas; DJMI, JKI and KMI are net transmitters of shocks in a static spillover convention. Shock transmission process is time variant and volatility behaves in an asymmetric manner. The risk of spillover is quite sensitive to the political and economic events and it varies over time.

Suggested Citation

  • Kashif Hamid & Rana Shahid Imdad Akash & Muhammad Mudassar Ghafoor, 2019. "Testing of Volatility Spillovers Dynamics and Network Connectedness between Islamic Indices of Regional Stock Markets," Global Regional Review, Humanity Only, vol. 4(1), pages 128-137, March.
    • Handle: RePEc:aaw:grrjrn:v:4:y:2019:i:1:p:128-137
    DOI: 10.31703/grr.2019(IV-I).15
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    References listed on IDEAS

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    3. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    4. Mensi, Walid & Boubaker, Ferihane Zaraa & Al-Yahyaee, Khamis Hamed & Kang, Sang Hoon, 2018. "Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets," Finance Research Letters, Elsevier, vol. 25(C), pages 230-238.
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    More about this item

    Keywords

    Islamic Indices; EGARCH; DCC-GARCH; Volatility Spillover and Rolling Window Analysis;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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