Diagnostic of Innovations and Volatility Persistence in Emerging Markets

Evidence from Sukuk and Stock Indices

  • Widad Metadjer Djilali Liabes university, Algeria
  • Seyf Eddine Benbakhti Djilali Liabes university, Algeria
  • Hadjer Boulila Djilali Liabes university, Algeria

Abstract

This paper aims to analyse the shocks and volatility persistence of both Islamic and conventional financial market, and the nature of the correlation between the two markets. The study uses Bivariate BEKK-GARCH(1,1) model in the examination of the shocks and volatility based on the daily prices of Dubai Islamic Capital Market (Sukuk index) and conventional Stock Market (DFM index).As a result, it documents that both Sukuk and stock market indices are affected by their own news and shows volatility persistence over the study period.  The study also finds a negative correlation between the Sukuk and Stock market prices during the Dubai debt crisis which indicates that Islamic bonds are good portfolio diversifier. Our study seeks to define the nature of the correlation between the Sukuk market and the stock market using daily prices, unlike other studies that use returns. In addition, our empirical results might be valuable for investors and market makers to ensure a good portfolio diversification strategy.

Downloads

Download data is not yet available.

References

Acar, M., Köse, N., Yıldırım, J., Boyacı, A., & Sezgin, F. (2012). Qualitative and Quantitative Analyis of Impact of Conditional Cash Transfer Program in Turkey Porject Report. Ankara: Ministry of Family and Social Policies.

Adato, M., de la Brière, B., Mindek, D., & Quisumbing, A. (2000). The Impact of Progresa on Women’s Status and Intrahousehold Relations. Washington DC: International Food Policy Research Institute (IFPRI).

Adato, M., Roopnaraine, T., Smith, N., Altinok, E., Celebioglu, N., & Cemal, S. (2007). An evaluation of the conditional cash transfer program in Turkey: Second qualitative and anthropological study. Washington, DC: International Food Policy Research Institute.

Ahmed, A., Gilligan, D., Kudat, A., Colasan, R., Tatlidil, H., & Ozbilgin, B. (2006). Impact evaluation of the conditional cash transfers program in Turkey: A quantitative assessment. Washington, DC: International Food Policy Research Institute.

Aktan, A., Pala, K., İlhan, B., & Civaner, M. (2014). Health-care reform in Turkey: far from perfect. Lancet, 383, 25-26.

Antonopolous, R., & Kim, K. (2011). Social protection: opportunities for promoting a gender equality agenda. Fe Dergi, 3(2), 68-84.

Arif, S., Syukri, M., Isdijoso, W., Rosfadhila, M., & Soelaksono, B. (2011). Are conditions pro-women? A case study of a conditional cash transfer in Indonesia. CSP Research Report 03.

Atun, R., Aydın, S., Chakraborty, S., Sümer, S., Aran, M., Gürol, İ., . . . Akdağ, R. (2013). Universal health coverage in Turkey: Enhancement of equity. Lancet, 382, 65-99.

Ayduz, D. S. (2006). Artillery Trade in the Ottoman Empire. Foundation for Technology, Science and Civilization. Récupéré sur http://www.muslimheritage.com/uploads/Artillery%20Trade%20of%20the%20Ottoman%20Empire.doc2.pdf
Baird, S., McIntosh, C., & Ozler, B. (2009). Designing cost-effective cash transfer programs to boost schooling in Sub-Saharan Africa. Washington DC.: World Bank Policy Research Working Paper No. 5090.

Baird, S., McIntosh, C., & Ozler, B. (2010). The short-term impacts of a schooling conditional cash transfer program on the sexual behavior of young women. Health Economics, 19(1).

Barber, S., & Gertle, P. (2010). Empowering women: how Mexico's conditional cash transfer programme raised prenatal care quality and birth weight. Journal of Development Effectiveness, 2(1).

Barber, S., & Gertler, P. (2009). Empowering women to obtain high quality care: evidence from an evaluation of Mexico’s conditional cash transfer programme. Health Policy and Planning, 24, 18-25.

Barrientos, A. (2005). Non-contributory pensions and poverty reduction in Brazil and South Africa. Manchester: Institute for Development Policy and Management.

Barrientos, A., & Lloyd-Sherlock, P. (2002). Non-Contributory Pensions and Social Protection, Issues in Social Protection Series, Social Protection Sector. Geneva: International Labour Organisation.

Barrientos, A., & Santibáñez, C. (2009). ‘New Forms of Social Assistance and the Evolution of Social Protection in Latin America. Journal of Latin American Studies, 41(1), 1-26.

Barrientos, A., & Scott, J. (2008). Social transfers and growth: a review. Manchester : The University of Manchester Brooks World Poverty Institute Working Paper 52.

Bradshaw, S. (2008). From Structural Adjustment to Social Adjustment: A Gendered Analysis of Conditional Cash Transfer Programmes in Mexico and Nicaragua. Global Social Policy, 8(2), 188- 207.

Bradshaw, S., & Quiros, A. (2008). Women Beneficiaries or Women Bearing the Cost? A Gendered Analysis of the Red de Proteccion Social in Nicaragua. Development and Change, 29(5), 823-844.

Budlender, D., & Woolard, I. (2006). The Impact of the South African Child Support and Old Age Grants on Children’s Schooling and Work. Paper presented at the ILO International Programme on the Elimination of Child Labour. Geneva: ILO.

Chant, S. (2010). The international handbook of gender and policy: concepts, research and policy. Cheltenham: Edward Elgar.

Chaudhury, N., & Parajuli, D. (2010). Conditional cash transfers and female schooling: the impact of the female school stipend programme on public school enrolments in Punjab, Pakistan. 42, 3565–3583.

Çoban, A., Attepe, S., Uluocak, G., & Çelik, G. (2011). ‘Are we doing fine?’ The views on poverty reduction strategies among front-line workers in the field of social assistance in Turkey. Journal of Social Service Research, 37, 469-480.

Darney, B., Weaver, M., Sandra, G., Walker, D., Servan-Mori, E., Prager, S., & Gakidou, E. (2013). The Oportunidades Conditional Cash Transfer Program: Effects on Pregnancy and Contraceptive Use Among Young Rural Women in Mexico. Int Perspect Sex Reprod Health, 39(4), 205-214.

DFID. (2011). Cash Transfers Evidence Paper. Department for International Development Policy Division, London.

Duflo, E. (2000). Grandmothers and granddaughters: old age pensions and intra-household allocation in South Africa. Cambridge, MA: National Bureau of Economic Research.

Escobar Latapí, A., & González de la Rocha, M. (2009). Girls,Mothers and Poverty Reduction in Mexico: Evaluating Progresa-Oportunidades. Dans S. Razavi, The Gendered Impacts of Liberalisation. New York and Abingdon: Routledge/UNRISD.

Esping-Andersen, G. (1999). Social Foundations of Post Industrial Economies. Oxford: Oxford University Press.
Familia, B. (2014).

Feldman, B., Zaslavsky, A., Ezzati, M., Peterson, K., & Mitchell, M. (2009). Contraceptive Use, Birth Spacing, and Autonomy: An Analysis of the Oportunidades Program in Rural Mexico. 40(1).

Fiszbein, A., & Schady, N. (2009). Conditional Cash Transfers: Reducing Present and Future Poverty. Washington, DC: World Bank.

Fultz, E., & Francis, J. (2013). Cash transfer programmes, poverty reduction and empowerment of women: Experiences from Brazil, Chile, India, Mexico and South Africa. Geneva: ILO GED Working Paper 4/2013.

Garza, A. d. (2010). Garza, Andrew de la. "Mughals at War: Babur, Akbar and the Indian Military Revolution, 1500 - 1605. A Dissertation for PhD Programme, 12. The Ohio State University.

Hasan, A. (2010). Gender-targeted Conditional Cash Transfers. The World Bank Policy Research Working Paper 5257.

ILO. (2010). Extending social security to all – a guide through challenges and options. Geneva: International Labour Organization.

Jones, N., Vargas, R., & Villar, E. (2008). Cash transfers to tackle childhood poverty and vulnerability: an analysis of Peru's Juntos Program. Environment and Urbanization, 20, 255.

Kabeer, N. (2008). Mainstreaming gender in social protection for the informal economy. The Commonwealth Secretariat.

Kimsey, M. (2010). Gender in Designing and Implementing Social Transfer Programmes. Dans M. Samson, I. van

Niekerk, & K. Mac Quene, Designing and Implementing Social Transfer Programmes. South Africa: Economic Policy Research Institute.

Lomeli, A. (2008). Conditional Cash Transfers as Social Policy in Latina America. Annual Review of Sociology, 34, 475–99.

Lund, F. (2011). A step in the wrong direction: Linking the South Africa Child Support Grant to school attendance. Journal of Poverty and Social Justice, 19(1), 5–14.

Luttrell, C., & Moser, C. (2004). Gender and Social Protection. Récupéré sur http://www.odi.org.uk/resources/docs/1686.pdf

MDS. (2014). Bolsa Familia Information. Récupéré sur http://www.mds.gov.br/bolsafamilia/informes

MFSP. (2012). Social Support Statistics Bulletin (June 2012). Ankara: Ministry of Family and Social Policies.

MFSP. (2014). 2013 Calendar Year Activity Report. Ankara: Ministry of Family and Social Policies.

Molyneux, M. (2007). Change and continuity in social protection in Latin America. Mothers at the service of the state? . Geneva: United Nations Research Institute for Social Development (UNRISD) Working Paper No. 1.

Molyneux, M. (2009). Conditional Cash Transfers: A 'Pathway to Women's Empowerment'?', Pathways to Women's Empowerment. Brighton: Institute of Development Studies,.

Molyneux, M., & Thompson, M. (2011). Cash transfers, gender equity and women’s empowerment in Peru, Ecuador and Bolivia. Gender & Development, 19(2), 195-210.

Naifar, N. (2016). Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach. The Quarterly Review of Economics and Finance, 61, 29-39.

OECD, O. f.-o. (2009). Promoting pro-poor growth: social protection. Paris: OECD.
Ranganathan, M., & Lagarde, M. (2012). Promoting healthy behaviours and improving health outcomes in low and middle income countries: A review of the impact of conditional cash transfer programmes. Preventive Medicine.

Razavi, S. (2003). Women's changing roles in the context of economic reform and globalization. background paper. Récupéré sur http://unesdoc.unesco.org/images/0014/001469/146913e.pdf.

Razavi, S. (2011). Rethinking care in a development context: An introduction. Development and Change, 42(4), 873-903.

Razavi, S., Arza, C., Braunstein, E., Cook, S., & Goulding, K. (2012). Gendered Impacts of Globalization: Employment and Social Protection. Geneva: UNRISD Gender and Development Programme Paper Number 16.

Samson, M., Lee, U., Ndlebe, A., MacQuene, K., van Niekerk, I., Ghandhi, V., & Harigaya, T. (2004). The Social and Economic Impact of South Africa’s Social Security System. Cape Town: EPRI Research paper 37.

Samson, M., van Niekerk, I., & Mac Quene, K. (2009). Designing and Implementing Social Transfer Programmes (éd. 2). South Africa: Economic Policy Research Institute.

Samson, M., van Niekerk, I., & Mac Quene, K. (2010). Designing and Implementing Social Transfer Programmes (éd. 2). South Africa: Economic Policy Research Institute.

SEDESOL. (2012). Oportunidades, 15 years of results. Mexico City: Secreteria de Desarrollo Social.

SEDESOL. (2014). Récupéré sur Prospera Program Information: https://www.prospera.gob.mx/Portal/

Soares, F. V., & Silva, E. (2010). Conditional Cash Transfer Programmes and Gender Vulnerabilities: Case Studies of Brazi, Chile and Columbia. International Policy Centre for Inclusive Growth (IPC-IG) Working Paper 69.

Tabbush. (2010). Latin American Women’s Protection after Adjustment: A Feminist Critique of Conditional Cash Transfers in Chile and Argentina. Oxford Development Studies, 38(4), 437-56.

UNICEF. (2014). Policy Paper on Improving Conditional Cash Transfers Programme in Turkey. Ankara: UNICEF Turkey Office.

UNRISD. (2010). Combating Poverty and Inequality. Geneva: United Nations Research Institute for Social Development.

Ventura-Dias, V. (2009). Market Forces, State Action and Social Institutions in the Dynamics of Gender (In)Equality in Latin America. New York: RBLAC-UNDP.

Yıldırım, J., Özdemir, S., & Sezgin, F. (2014). A Qualitative Evaluation of a Conditional Cash Transfer Program in Turkey: The Beneficiaries’ and Key Informants’ Perspectives. Journal of Social Service Research, 40(1), 62-79.
Published
2020-12-14
How to Cite
METADJER, Widad; BENBAKHTI, Seyf Eddine; BOULILA, Hadjer. Diagnostic of Innovations and Volatility Persistence in Emerging Markets. International Journal of Islamic Business and Economics (IJIBEC), [S.l.], v. 4, n. 2, p. 95-105, dec. 2020. ISSN 2615-420X. Available at: <http://e-journal.iainpekalongan.ac.id/index.php/IJIBEC/article/view/2355>. Date accessed: 05 mar. 2021. doi: https://doi.org/10.28918/ijibec.v4i2.2355.