Modelling volatility spillover between conventional and Islamic stock index in the United Kingdom

Authors

DOI:

https://doi.org/10.31039/jomeino.2018.2.3.1

Keywords:

Islamic stock market index, conventional stock market index, volatility, UK

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.

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Published

01.09.2018

Issue

Vol. 2 No. 3 (2018): September-December

Section

Articles

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Copyright (c) 2018 Journal of Management, Economics, and Industrial Organization

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

All articles are published under the terms of the Creative Commons Attribution (CC BY 4.0) International License.

How to Cite

Djedovic, I., & Ergun, U. (2018). Modelling volatility spillover between conventional and Islamic stock index in the United Kingdom. Journal of Management, Economics, and Industrial Organization, 2(3), 1-17. https://doi.org/10.31039/jomeino.2018.2.3.1