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).

我们在本文中的目标是检查道琼斯伊斯兰和传统新兴股票市场指数的时变最佳对冲比率，对冲石油、黄金和 VSTOXX 以及四个新兴国家的部门 CDS 指数（原材料、工业、医疗保健和电信）。使用包含每日数据的滚动窗口程序，从 2000 年 1 月到 2019 年 4 月，连同 DCC、ADCC 和 GO-GARCH 模型以及对冲有效性标准，我们确定了最佳对冲工具。我们的研究结果证明，CDS 指数是伊斯兰和传统投资组合的最佳对冲工具，因为它们具有最高的对冲效果。我们的实证结果对分布假设和使用三个 MGARCH 模型检查不同的改装（20、40 和 60 天）是稳健的。