The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia

被引：2
|
作者：
Benlagha N. [1 ]
Hemrit W. [2 ]
机构：
[1] Department of Finance and Economics, College of Business and Economics, Qatar University, P.O.X 2713, Doha
[2] Department of Insurance and Risk Management, College of Economics and Administrative Sciences, Al Imam Mohammad Ibn Saud Islamic University (IMSIU), P.O. Box 5701, Riyadh
来源：
Asia-Pacific Financial Markets | 2018年 / 25卷 / 4期
关键词：
AR (1)-GJR–GARCH (1,1); DCC-GARCH; Insurance; Saudi Arabia; Stock returns; Volatility;
D O I：
10.1007/s10690-018-9249-2
中图分类号：
学科分类号：
摘要：
This paper investigates the dynamics of volatility in the stock market using competing univariate GARCH specifications. Moreover, it provides a study of the pairwise correlation pattern of stock returns for a wide range of Saudi Arabian insurance business lines by using a dynamic DCC-GARCH model. Our results show that volatility responds asymmetrically to shocks with a persistence of variance in the stock return data, supporting the presence of irrational behaviour as well as the effectiveness of a cross-market diversification strategy. Finally, we reach a point at which, between every two-business line stock returns, there is a dynamic conditional correlation. © 2018, Springer Japan KK, part of Springer Nature.
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页码：285 / 323
页数：38
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