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Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory

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  • El Mehdi, Imen Khanchel
  • Mghaieth, Asma

Abstract

In this paper we study the dynamic relationship between Islamic and conventional stock markets. We use six Dow Jones Islamic indices and their conventional counterparts. We adopt both univariate and multivariate GARCH type models for the period 2000–2014. The findings show that the DCC-FIAPARCH is the best to model conditional heteroskedsticity among three multivariate GARCH specifications.

Suggested Citation

  • El Mehdi, Imen Khanchel & Mghaieth, Asma, 2017. "Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 595-611.
  • Handle: RePEc:eee:riibaf:v:39:y:2017:i:pa:p:595-611
    DOI: 10.1016/j.ribaf.2016.04.006
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