This study examines the hedging of Islamic and conventional stock markets risks using diverse financial assets (namely gold, crude oil, VISTOXX, VIX, CDSEU and DJCOM). We apply DCC, ADCC and FDCC models to account for heavy tails and asymmetric returns. We use rolling window analysis to construct out-of-sample one-step-ahead forecasts of dynamic conditional correlations and optimal hedge ratios. The findings indicate that the hedge ratios vary and depend upon the inclusion of hedging assets, portfolio composition and model used. The VISTOXX is the best asset to hedge Islamic and conventional stock portfolios. Moreover, the DCC model often leads to diversification benefits and hedging effectiveness better than the others models.

这项研究使用各种金融资产（即黄金，原油，VISTOXX，VIX，CDSEU和DJCOM）研究了回教和传统股市风险的对冲。我们应用DCC，ADCC和FDCC模型来解决重尾和不对称收益的问题。我们使用滚动窗口分析来构建动态条件相关性和最佳套期保值比率的样本外一步一步预测。调查结果表明，对冲比率各不相同，并取决于对冲资产，投资组合构成和所用模型的纳入。VISTOXX是对冲伊斯兰和传统股票投资组合的最佳资产。此外，DCC模型通常会比其他模型更好地带来多元化收益和对冲有效性。