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All Journal Al-Iqtishad : Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics) International Journal of Islamic Business and Economics (IJIBEC)
Widad, Metadjer
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Religion Economics, Econometrics & Finance Environmental Science Social Sciences

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Diagnostic of Innovations and Volatility Persistence in Emerging Markets : Evidence from Sukuk and Stock Indices Widad, Metadjer; Benbekhti Seyf Eddine; Boulila Hadjer
International Journal of Islamic Business and Economics (IJIBEC) Vol 4 No 2 (2020): Volume 4 Nomor 2 Tahun 2020
Publisher : Universitas Islam Negeri K.H. Abdurrahman Wahid Pekalongan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.28918/ijibec.v4i2.2355

Abstract

This paper analysis the 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 volatility based on the daily prices in Dubai Islamic Capital Market (Sukuk index) and conventional Stock Market (DFM index). The results showed that both Sukuk and stock market indices were affected by their own news, while the volatility was persistent during the period of this research. The study also found a negative correlation between prices in both Sukuk and Stock markets during the Dubai debt crisis indicating that Islamic bonds were considered as a good portfolio diversifier. This study defines the natural correlation between the daily prices of both Sukuk and stock market, unlike the other studies which used returns. In addition, the empirical results might be valuable for investors and market makers to ensure a good portfolio diversification strategy
Causal Relationship Between Islamic Bonds, Oil Price and Precious Metals: Evidence From Asia Pacific Widad, Metadjer; Hadjer, Boulila
Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah Vol. 10 No. 2 (2018)
Publisher : UNIVERSITAS ISLAM NEGERI SYARIF HIDAYATULLAH JAKARTA

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15408/aiq.v10i2.7171

Abstract

Sukuk or Islamic bonds as new “Halal” securities had wildly expanded in Muslim and non-Muslim capital markets. So, this study aims to investigate the causal relationship between Islamic bonds (sukuk), oil and precious metals “silver and gold” prices in Asia pacific. This study used VAR model relying on daily data. The findings of Granger causality test and impulse-responses analysis results provide substantial evidence in favor of the relation between sukuk and the commodity market variables (oil, gold, and silver) meanwhile and unlike many empirical studies, don’t we have found that oil doesn’t cause changes in precious metals prices. Therefore, the idea that Islamic financial markets provide diversification benefits and they are safe havens during oil crisis cannot be supported empirically.DOI: 10.15408/aiq.v10i2.7171
Co-Authors Benbekhti Seyf Eddine Boulila Hadjer Hadjer, Boulila