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L’indice boursier islamique est-il moins volatile que son homologue conventionnel ? Application du modèle à changement de régimes de Markov

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  • Abdessamad OUCHEN

Abstract

Afin de comprendre les asymétries cycliques dans les séries des rendements des principaux indices boursiers, il est primordial de recourir aux spécifications non linéaires qui distinguent entre les phases d’expansion et celles de récession. Nous avons estimé ainsi un modèle à changement de régimes de Markov, à deux états et avec une spécification autorégressive d’ordre 2, de la série des rendements mensuels de l’indice islamique DJIM (Dow Jones Islamic Market) et de celle des rendements mensuels de son homologue conventionnel DJ (Dow Jones) durant la période qui s’étale du Janvier 2000 au Janvier 2017. Ce modèle a mis en évidence trois principaux résultats. Primo, l’existence de deux régimes distincts sur le marché boursier américain : l’état de crise et celui de stabilité, pour les deux indices, mais l’indice islamique est moins turbulent par rapport à son homologue conventionnel. Secundo, une période de volatilité élevée dure près de deux mois pour le cas de l’indice conventionnel et près d’un mois et une semaine pour le cas de l’indice islamique. Tertio, le modèle à changement de régimes de Markov a permis la détection de trois bulles : la bulle Internet (1998-2000), la bulle immobilière (1995-2006), pour les deux indices, et la bulle financière chinoise (2014-2015) uniquement pour l’indice conventionnel.

Suggested Citation

  • Abdessamad OUCHEN, 2017. "L’indice boursier islamique est-il moins volatile que son homologue conventionnel ? Application du modèle à changement de régimes de Markov," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 8(1), June.
    • Handle: RePEc:jaf:journl:v:8:y:2017:i:1:n:80
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    References listed on IDEAS

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    More about this item

    Keywords

    finance islamique; indice; islamic finance; index;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • P4 - Political Economy and Comparative Economic Systems - - Other Economic Systems

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