초록 열기/닫기 버튼
This paper empirically investigates the price discovery and volatility spillover effects between the Sharia stock, Sukuk, and bond markets in Malaysia. The transmission mechanisms of volatility between the stock and bond markets have drawn the attention of numerous academics and practitioners. However, there has been no consensus on the evidence of volatility spillover between the stock and bond markets in previous studies. We examine the volatility linkages between the stock and bond markets in Malaysia using a VAR-bivariate-GARCH model during the recent financial crisis and a VECM-bivariate GARCH model after the crisis. The estimation results of the GARCH-BEKK model suggest that there was a unidirectional volatility spillover from the Sukuk GII market to the Sharia stock market during the financial crisis, implying that the Sukuk market has a strong influence on the stock market, but not vice versa. However, we find no volatility spillover effect between the MGS Bond and the Sharia stock market after the financial crisis.
