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Muhammad Rizky Prima Sakti
Kulliyah of Economic and Management Sciences (KENMS), International Islamic University Malaysia (IIUM).
Economics, Econometrics & Finance

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Testing the conditional correlations and volatility spillovers between US and ASEAN Islamic stock markets: A Multivariate GARCH Analysis Muhammad Rizky Prima Sakti
Global Review of Islamic Economics and Business Vol 2, No 1 (2014)
Publisher : Faculty of Islamic Economics and Business, State Islamic University Sunan Kalijaga

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1081.029 KB) | DOI: 10.14421/grieb.2014.021-03

Abstract

This study examines the conditional correlations and volatility spillovers between the US and ASEAN Islamic stock markets. The empirical design uses MSCI (Morgan Stanley Capital International) Islamic indexes as it adopted stringent restriction to include companies in sharia list. By using a three multivariate GARCH models (BEKK, diagonal VECH, and CCC model), we find evidence of returns and volatility spillovers from the US to the ASEAN Islamic stock markets. However, as the estimated time-varying conditional correlations and volatilities indicate there is still a room for diversification benefits, particularly in the single markets. The Islamic MSCI of Thailand, Indonesia, and Singapore are less correlate to the US MSCI Islamic index. The implication is that foreign investors may benefit from the reduction of risk by adding the Islamic stocks in those countries.
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