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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

Rym Charef El ANSARI
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.

Keywords: DCC-GARCH, DCC-GJR-GARCH, asymmetries, short memory, Islamic insurances, conventional insurances and stock market.

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