IDEAS home Printed from https://ideas.repec.org/a/ids/ijecbr/v28y2024i3-4p398-416.html
   My bibliography  Save this article

Conditional volatility and correlations between Sukuks, stocks, and gold in the GCC region

Author

Listed:
  • Walaa Hammad
  • Qaiser Munir
  • Tamara Teplova
  • Muhammad Abrar ul Haq

Abstract

Financial markets around the world have suffered significantly during the current COVID-19 pandemic. This study presents an important view of the predictive capacity of COVID-19 for the correlation between Islamic bonds, equity markets, and precious commodities in the GCC region. Specifically, this study investigates whether the volatility and co-movements behaviours between Sukuk, conventional stocks, Islamic stocks, and gold are correlated before and during the pandemic. Our analysis uses a dynamic conditional correlation (DCC) multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model from the period 30 August 2013 to 31 January 2022. Our results suggest that there is a strong correlation between Sukuks, conventional stocks, and Islamic stocks before and during the crisis. However, we have observed that the correlation decreases during the pandemic. With regards to correlation, Sukuk and conventional stocks along with Sukuk and Islamic stocks maintained a low correlation, while the conventional and Islamic stocks have a high correlation.

Suggested Citation

  • Walaa Hammad & Qaiser Munir & Tamara Teplova & Muhammad Abrar ul Haq, 2024. "Conditional volatility and correlations between Sukuks, stocks, and gold in the GCC region," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 28(3/4), pages 398-416.
    • Handle: RePEc:ids:ijecbr:v:28:y:2024:i:3/4:p:398-416
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=141489
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijecbr:v:28:y:2024:i:3/4:p:398-416. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=310 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.