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Islamic vs Conventional Canadian stock markets : what difference ?

NEIFAR, MALIKA (2020): Islamic vs Conventional Canadian stock markets : what difference ?

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Abstract

This study empirically assesses the relationship between inflation and stock return in conventional and Islamic Canadian stock markets. The study has covered monthly data for the period 2004:M08−2018 :M4 of canadian economy. We propose a multivariate X-MGARCH or X- MGARCH-X volatility model to assess the dependence of Conventional and Islamic canadian stock market returns on inflation (expected and/or unexpected inflation) and volatility dynamic interdependence of returns (first and second moments). We also examine the constant and dynamic of conditional correlation in both stock market. The main result supports the hypotheses of constant conditional correlation (CCC) and Fisher hypothesis for Islamic canadian stock market. While the Conventional stock market is an efficient one. The volatility spillover is examined estimating an X-DVECH model. The dynamic conditional correlation (DCC) provides evidence of cross border relationship within stocks. We do find also evidence of negative (positive) significant effect of inflation on Islamic (conventional) stock market return volatility.

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