Modelling Volatility Spillover between Conventional and Islamic Stock Index in the United Kingdom

Abstract

This paper analyzes the volatility spillover between Dow Jones UK conventional index (GBDOW) and Dow Jones UK Islamic index. Monthly observations spanning in a period from January 2010 until June 2017 are obtained from Investing.com database. Vector Auto-regression analysis (VAR) and Impulse response functions are used in order to estimate the impact. The results show that there is a significant impact of Dow Jones UK index volatility on Dow Jones UK Islamic index volatility.