아프리카ㆍ중동
연구정보
Modeling dependence structure between stock market volatility and sukuk yields: A nonlinear study in the
사우디아라비아 국외연구자료 기타 Nader Naifar Elsevier 발간일 : 2016-10-06 등록일 : 2016-10-06 원문링크
The aim of this paper is to investigate the dependence structure between sukuk (Islamic bonds) yields and stock market (returns and volatility) in the case of Saudi Arabia. We consider three Archimedean copula models with different tail dependence structures namely Gumbel, Clayton, and Frank. This study shows that the sukuk yields exhibit significant dependence only with stock market volatility. In addition, the dependence structure between sukuk yields and stock market volatility are symmetric and linked with the same intensity.
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