Modeling dependence structure between stock market volatility and sukuk yields: A nonlinear study in the case of Saudi Arabia

被引：19
|
作者：
Naifar, Nader [1 ]
机构：
[1] Al Imam Mohammad Ibn Saud Islamic Univ IMSIU, Dept Finance & Investment, Coll Econ & Adm Sci, POB 5701, Riyadh, Saudi Arabia
来源：
BORSA ISTANBUL REVIEW | 2016年 / 16卷 / 03期
关键词：
sukuk; Conditional volatility; GARCH; Dependence; Copula;
D O I：
10.1016/j.bir.2016.01.005
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The aim of this paper is to investigate the dependence structure between sukuk (Islamic bonds) yields and stock market (returns and volatility) in the case of Saudi Arabia. We consider three Archimedean copula models with different tail dependence structures namely Gumbel, Clayton, and Frank. This study shows that the sukuk yields exhibit significant dependence only with stock market volatility. In addition, the dependence structure between sukuk yields and stock market volatility are symmetric and linked with the same intensity. Copyright (C) 2016, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.
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页码：157 / 166
页数：10
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