Sifat, Imtiaz; Mohamad, Azhar; Zhang, Heng Chao; … - 2022
We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against traditional global counterparts. We first employ an asymmetric power ARCH-based ADCC model on an extended dataset employed by Kenourgios et al. (2016). Our sample ranges from...