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The dependence and dynamic correlation between Islamic and conventional insurances and stock market: A multivariate short memory approach

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  • Rym Charef El ANSARI

    (University of Tunis El Manar, Tunisia)

  • Riadh El ABED

    (University of Tunis El Manar, Tunisia)

Abstract

This study examines the dependence and the dynamic conditional correlation among Islamic and Conventional Insurances and Stock market with Qatar and Abu Dhabi. The main objective of this article is to study how the dynamics of correlations between the major return series evolved from January, 2006 to August, 2018. To this end, we adopt a dynamic conditional correlation (DCC) model into a multivariate GARCH with symmetric effect and the dynamic conditional correlation (DCC) model into a multivariate GJR-GARCH with asymmetric framework. Empirical results indicate the evidence of time-varying co-movement, a high and low persistence of the conditional correlation in the short run.

Suggested Citation

  • Rym Charef El ANSARI & Riadh El ABED, 2020. "The dependence and dynamic correlation between Islamic and conventional insurances and stock market: A multivariate short memory approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(624), A), pages 213-222, Autumn.
    • Handle: RePEc:agr:journl:v:3(624):y:2020:i:3(624):p:213-222
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    References listed on IDEAS

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