Diagnostic of Innovations and Volatility Persistence in Emerging Markets Evidence from Sukuk and Stock Indices

Thispaper analysisthe persistence of shock and volatility of both Islamic and conventional financial markets, as well as the natural correlation between those markets. This study used the Bivariate BEKK-GARCH(1,1) model to examine the persistence of shock and volatilit...

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Bibliographic Details

Published in:	International Journal of Islamic Business and Economics (IJIBEC)
Main Authors:	Widad Metadjer, Seyf Eddine Benbakhti, Hadjer Boulila
Format:	Article
Language:	English
Published:	Faculty of Islamic Economics and Business - Universitas Islam Negeri K.H. Abdurrahman Wahid Pekalongan 2020-12-01
Subjects:	volatility sukuk stock market financial crisis bekk-garch
Online Access:	http://e-journal.iainpekalongan.ac.id/index.php/IJIBEC/article/view/2355/1765