قياس فعالية الاستثمار في الابتكارات المالية الإسلامية : دراسة مقارنة بين مؤشر الصكوك الإسلامية و السندات التقليدية

الملخص EN

This study measures the volatility of the returns of Islamic bonds (Sukuk) compared to conventional bonds, by using models of conditional self-regression heterogeneity of symmetric error variance ARMA GARCH (1, 1) and asymmetric (1, 1) GJR-GARCH ARMA; this is to examine the characteristics of volatility and leverage effect.

This was based on the multivariate models represented in the DCC-GARCH model to test the relevance of the studied indicators with similar maturities.

Furthermore, the daily returns chains of eight indicators were used, chosen from the Dow Jones index with different maturities, and the study period ranges from 2012 to 2019.

The results of this study came to confirm that Islamic bonds (Sukuk) can be as an alternative to conventional bonds because they are less riskier, and as a good opportunity for diversification.