Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/340263 
Year of Publication: 
2022
Citation: 
[Journal:] Borsa İstanbul Review [ISSN:] 2214-8469 [Volume:] 22 [Issue:] 2 [Year:] 2022 [Pages:] 209-225
Publisher: 
Elsevier, Amsterdam
Abstract: 
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).
Subjects: 
ADCC
DCC
Dow Jones Islamic and conventional emerging market indices
GO-GARCH
Hedging effectiveness ratio
Sectoral CDS indices
JEL: 
F36
G15
Q43
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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