Finance Department, College of Business Administration, Prince Sultan University, Riyadh, Saudi Arabia.
PLoS One. 2023 Oct 19;18(10):e0292958. doi: 10.1371/journal.pone.0292958. eCollection 2023.
The research examines a comovement and spillover of volatility among foreign exchange, conventional and shariah stock markets in Association of South East Asian Nation-5 (ASEAN) countries and Gulf Cooperation Council (GCC) countries. Generalized Autoregressive Conditional Heteroskedasticity-Baba, Engle, Kraft and Kroner (GARCH-BEKK) and Dynamic Conditional Correlation (GARCH-DCC) models are used to capture the correlation and transmission volatility of the markets. The overall results show that both the Shariah and the conventional stock indices respond similarly to each country's currency. A bidirectional (two-way relationship) volatility spillover exists only in Malaysia and a unidirectional (one-way relationship) volatility is observed in Indonesia, Singapore, Thailand, and Bahrain. The rest of the markets-the Philippines, Saudi Arabia, and the United Arab Emirates (UAE)-do not have any volatility spillover evidence. Based on DCC outcomes, the conventional and Shariah stock in ASEAN-5 countries and GCC countries reveal the market efficiency, i.e., a positive high conditional correlation. Only Bahrain shows less efficiency than the other countries. It implies no portfolio diversification advantage in conventional and Shariah stock indices. Contrarily, currency and stock (conventional and Shariah) markets provide portfolio diversification benefits for all ASEAN-5 and GCC countries.
这项研究考察了东南亚国家联盟-5（东盟）国家和海湾合作委员会（GCC）国家的外汇、传统和伊斯兰股票市场之间的波动联动和溢出效应。广义自回归条件异方差-Baba、Engle、 Kraft 和 Kroner（GARCH-BEKK）和动态条件相关（GARCH-DCC）模型用于捕捉市场的相关性和波动传递。总体结果表明，伊斯兰和传统股票指数对每个国家的货币反应相似。只有在马来西亚存在双向（双向关系）波动溢出，而在印度尼西亚、新加坡、泰国和巴林则存在单向（单向关系）波动。其余市场——菲律宾、沙特阿拉伯和阿拉伯联合酋长国（阿联酋）——没有任何波动溢出证据。根据 DCC 的结果，东盟 5 国和 GCC 国家的传统和伊斯兰股票市场显示出市场效率，即正的高条件相关性。只有巴林的效率低于其他国家。这意味着在传统和伊斯兰股票指数中没有投资组合多元化的优势。相反，货币和股票（传统和伊斯兰）市场为所有东盟 5 国和 GCC 国家提供了投资组合多元化的好处。
