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Article Dans Une Revue BORSA ISTANBUL REVIEW Année : 2022

Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX: A comparison between DCC, ADCC and GO-GARCH models & nbsp;

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Résumé

Our goal in this paper is to examine the time-varying optimal hedging ratios for the Dow Jones Islamic and conventional emerging stock market indices, hedged with oil, gold, and the VSTOXX as well as four emerging-country sectoral CDS indices (raw materials, industry, health care, and telecommunications). Using a rolling-window procedure with daily data, for the period from January 2000 to April 2019, along with, DCC, ADCC and GO-GARCH models as well as a hedging effectiveness criterion, we determine the best hedging instrument(s). Our findings prove that CDS indices are the best hedging instruments for both Islamic and conventional portfolios, as they have the highest hedging effectiveness. Our empirical results are robust to distribution assumptions and to the use of three MGARCH models in examining different refits (20, 40, and 60 days). Copyright (C)& nbsp;2021, Borsa _Istanbul Anonim S , irketi. Production and hosting by Elsevier B.V.& nbsp;

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hal-03673966 , version 1 (20-05-2022)

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Citer

Nejib Hachicha, Ahmed Ghorbel, Mohamed Chiheb Feki, Sofiane Tahi, Fredj Amine Dammak.

Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX: A comparison between DCC, ADCC and GO-GARCH models & nbsp;

. BORSA ISTANBUL REVIEW, 2022, 22 (2), pp.209-225. ⟨10.1016/j.bir.2021.04.002⟩. ⟨hal-03673966⟩

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