Analysis the Effect of Exchange Rate Volatility on Islamic Stock Indices Performance: An Empirical Study of the Dow Jones Islamic Market
Abstract
The aim of this article is to investigate the dynamic links between exchange rates volatilities and Islamic stock market returns fluctuations, by adopts a GARCH model. The data consists of daily closing prices of Dow Jones Islamic Market Indices in local currency and exchange rates for five emerging countries from March 2013 to March 2019. Islamic stock markets returns sensitivities are found to be stronger for exchange rates, implying that exchange rate changes plays an important role in determining the dynamics of the Islamic stock markets returns.
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References
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