Document Type : Scientific paper
Authors
1
University of Mazandaran
2
PhD student of Islamic economics, Faculty of Economic and Administrative Sciences, University of Mazandaran, Mazandaran, Iran.Babosar,Mazandaran,Iran.
3
, Department of Economics, Faculty of Economic and Administrative Sciences, University of Mazandaran, Babolsar,Mazandaran
4
Economics, Faculty of Economic and Administrative Sciences, University of Mazandaran,Babolsar, Mazandaran, Iran.
Abstract
in recent years, as the trend of globalization and integration of markets has accelerated, the relationship between markets, especially financial markets, has intensified, as the spillover of volatility in financial markets in times of crisis has become the concern of many investors. this issue is weighted, investors are more important for risk management and selection of optimal portfolio of assets, checking volatility, return of assets and volatility spillover. in this study, the severity of financial assets, especially Islamic stock markets and conventional stocks, before and after the Covid - 19 crisis was estimated by using oil price data, gold, Islamic stock and conventional stock and VRMA-BEKK-AGARCH model. the results show a relative increase in turbulence and shock spillover in the post Covid - 19 period compared to the previous period. the results also show mutual and mutual shock and turbulence spillover between all indicators in the post - corona sample period. although the return on debt during the whole period and the two sub periods has significantly less volatility than its conventional counterpart, the Islamic stock index (SUKUK) as well as conventional bonds has been affected by the volatility spillover in the Covid - 19 crisis and there has been no difference of debt in the spillover between the two markets in the period under review.
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