Modelling Volatility Spillover between Conventional and Islamic Stock Index in the United Kingdom

Authors: 
Irfan Djedovic, Ugur Ergun
DOI Number: 
http://doi.org/10.31039/jomeino.2018.2.3.1
Abstract: 
This paper analyzes the volatility spillover between Dow Jones UK conventional index (GBDOW) and Dow Jones UK Islamic index. Monthly observations spanning in a period from January 2010 until June 2017 are obtained from Investing.com database. Vector Auto-regression analysis (VAR) and Impulse response functions are used in order to estimate the impact. The results show that there is a significant impact of Dow Jones UK index volatility on Dow Jones UK Islamic index volatility.
Keywords: 
Islamic stock market index, conventional stock market index, volatility, UK
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References: 

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Content Status: 
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