Theoretical and Applied Economics
No. 3 / 2020 (624), Autumn
The dependence and dynamic correlation between Islamic and conventional insurances and stock market: A multivariate short memory approach
University of Tunis El Manar, Tunisia
Riadh El ABED
University of Tunis El Manar, Tunisia
Abstract. This study examines the dependence and the dynamic conditional correlation among Islamic and Conventional Insurances and Stock market with Qatar and Abu Dhabi. The main objective of this article is to study how the dynamics of correlations between the major return series evolved from January, 2006 to August, 2018. To this end, we adopt a dynamic conditional correlation (DCC) model into a multivariate GARCH with symmetric effect and the dynamic conditional correlation (DCC) model into a multivariate GJR-GARCH with asymmetric framework. Empirical results indicate the evidence of time-varying co-movement, a high and low persistence of the conditional correlation in the short run.
Contents
Social protection systems and economic growth
Analysis of the impact generated by COVID-19 in banking institutions and possible economic effects
Covid crisis: Fiscal, monetary and macro-financial policy responses
Simulation of financial contagion effect using the NetLogo software at the level of the banking network
Impact of education and government effectiveness on the shadow economy
Financial development and income inequality: An empirical analysis on the emerging market economies
Aspects and evolutions specific to monetary policy in Romania. A complex topical analysis
Foreign trade policy and economic growth: Indian evidence
The effect of external debt on long run economic growth in developing economies: Evidence from heterogeneous panel data models with cross sectional dependency
Structural modeling of fiscal structure for policy analysis: A case study of India
Macroeconomic variables and market expectations: Indian Stock Market
Relationship analysis of stocks prices and exchange rates of three leading Asian economies
Bitcoins as a determinant of stock market movements: A comparison of Indian and Chinese Stock Markets
The causal relationship between Indian energy consumption and the GDP: A shift from conservation to feedback hypothesis post economic liberalisation
The dependence and dynamic correlation between Islamic and conventional insurances and stock market: A multivariate short memory approach
Does exchange rate has any impact on economic growth in India? An empirical analysis
Corruption, technological innovation and environmental quality in South Asian countries: An empirical insight
Analysis of the quarterly evolution of the Gross Domestic Product
The main theoretical aspects regarding the capital adequacy models
Considerations regarding the effects of COVID-19 on the tourism market