Abstract

Islamic financial instruments have been experiencing rapid growth in the last 50 years. Despite the unique motivation in formulating them, namely based on Syariah law, their movement might link to those of the conventional ones. This paper is devoted to investigating such interactions. It does so by applying two multivariate time series models to estimate various instruments, both Islamic and conventional ones. The models are the VAR (Vector Autoregression) and the VARMA-GARCH (Vector Autoregressive Moving Average-Generalized Autoregressive Heteroskedasticity). From the VAR model it finds evidence of bidirectional influences across both instruments. It also finds a conventional stock index that dominates the other series, namely the DJI (Dow Jones Index). From the VARMA-GARCH model, it finds influences from the conventional to Islamic index and vice versa, both in conditional mean and conditional variances. This paper suggests that the behavior of Islamic instruments are inseparable from the conventional ones. Future research might consider conditional correlations across these variables.

摘要

在过去的50年中，伊斯兰金融工具一直在快速增长。尽管制定他们的独特动机是基于伊斯兰教法，但它们的运动可能与传统运动息息相关。本文致力于研究这种相互作用。它通过应用两个多元时间序列模型来估计各种工具，包括伊斯兰工具和常规工具，从而做到了这一点。这些模型是VAR（向量自回归）和VARMA-GARCH（向量自回归移动平均广义自回归异方差）。从VAR模型中，可以找到两种仪器之间双向影响的证据。它还找到了主导其他系列的常规股票指数，即DJI（道琼斯指数）。根据VARMA-GARCH模型，它发现了在条件均值和条件方差方面从常规指数到伊斯兰指数的影响，反之亦然。本文认为伊斯兰文书的行为与传统文书密不可分。未来的研究可能会考虑这些变量之间的条件相关性。