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The Dynamics Of The Dow Jones Sukuk Volatility: Evidence From Egarch Model

Author

Listed:
  • Nadhem SELMI

    (University of Sfax, Sfax, Tunisia)

  • Mohamed FAKHFEKH

    (University of Sfax, Sfax, Tunisia)

  • Marwa BEN SALEM

    (University of Sfax, Sfax, Tunisia)

Abstract

This paper aims to test the effect of asymmetric shocks on the volatility of the Dow Jones Sukuk. To this end, we applied the EGARCH model to give a clear idea of the effect of asymmetric shocks on the volatility of the sukuk. Considering the daily returns of the Dow Jones Sukuk for the period from 09/06/2009 to 31/12/2013, our results suggest that the volatility of the 2009-2010 period is very sensitive to market events over the period 2010-2013 and positive shocks are more volatile than negative one. The results have important implications for the sukuk market. This result can be explained by the good transparency, disclosure and better incentives that make investors expand their business in the market for sukuk.

Suggested Citation

  • Nadhem SELMI & Mohamed FAKHFEKH & Marwa BEN SALEM, 2015. "The Dynamics Of The Dow Jones Sukuk Volatility: Evidence From Egarch Model," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 5(2), pages 94-101, June.
    • Handle: RePEc:rom:bemann:v:5:y:2015:i:2:p:94-101
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    File URL: https://beman.ase.ro/no52/9.pdf
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    References listed on IDEAS

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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers 5, Universitat de les Illes Balears, Departament d'Economía Aplicada.
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    Cited by:

    1. Arfaoui, Mongi & Chkili, Walid & Ben Rejeb, Aymen, 2022. "Asymmetric and dynamic links in GCC Sukuk-stocks: Implications for portfolio management before and during the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).

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    More about this item

    Keywords

    EGARCH; Asymmetry of shocks; Dow Jones sukuk;
    All these keywords.

    JEL classification:

    • A1 - General Economics and Teaching - - General Economics
    • A2 - General Economics and Teaching - - Economic Education and Teaching of Economics
    • B4 - Schools of Economic Thought and Methodology - - Economic Methodology

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