Sukuk and conventional bonds gain their popularity in the global market. Hence, an observation of the dynamic correlation and transmission of volatility between these two instruments is relevant. This article investigates the volatility spillover of sukuk and conventional bond markets by using GARCH-BEKK model. Then, we measure the dynamics of the co-movement of both markets by using GARCH-DCC model, and finally, we examine the macroeconomic factors that determine the dynamic conditional correlation between sukuk and conventional bonds in two Association of Southeast Asian Nations (ASEAN) markets (i.e., Indonesia and Malaysia) and four Gulf Cooperation Council (GCC) markets (i.e., Kingdom of Saudi Arabia, UAE, Qatar and Oman). The data reveal unidirectional and bidirectional volatility spillovers of sukuk and bond indices. The results also show strong evidence of dynamic conditional correlation for all markets. On the basis of the BEKK and dynamic conditional correlation (DCC) results, we infer that bonds and sukuk in ASEAN and GCC markets show the efficiency of the markets, which do not offer any diversification benefits to investors for having both instruments in their portfolios. As regards portfolio diversification strategies, investors must pay attention to the co-movements and spillover of both markets accordingly. Finally, only Oman market is influenced by all macroeconomic variables.

回教债券和传统债券在全球市场上越来越受欢迎。因此，观察这两种工具之间的动态相关性和波动性传递是相关的。本文使用 GARCH-BEKK 模型研究了回教债券和传统债券市场的波动溢出。然后，我们使用 GARCH-DCC 模型来衡量两个市场的联动动态，最后，我们检查了决定两个东南亚国家联盟 (ASEAN) 中伊斯兰债券与常规债券之间动态条件相关性的宏观经济因素市场（即印度尼西亚和马来西亚）和四个海湾合作委员会（GCC）市场（即沙特阿拉伯王国、阿联酋、卡塔尔和阿曼）。数据揭示了回教债券和债券指数的单向和双向波动溢出。结果还显示了所有市场动态条件相关性的有力证据。根据 BEKK 和动态条件相关 (DCC) 结果，我们推断东盟和海湾合作委员会市场的债券和回教债券显示出市场的效率，这不会为投资者在其投资组合中同时拥有这两种工具提供任何多元化收益。至于投资组合多元化策略，投资者必须相应地关注两个市场的联动和溢出。最后，只有阿曼市场受到所有宏观经济变量的影响。这不会为投资者在其投资组合中同时拥有这两种工具提供任何多元化收益。至于投资组合多元化策略，投资者必须相应地关注两个市场的联动和溢出。最后，只有阿曼市场受到所有宏观经济变量的影响。这不会为投资者在其投资组合中同时拥有这两种工具提供任何多元化收益。至于投资组合多元化策略，投资者必须相应地关注两个市场的联动和溢出。最后，只有阿曼市场受到所有宏观经济变量的影响。