Open AccessIMPACT OF CONVENTIONAL STOCK MARKET INDEX ON ISLAMIC STOCK MARKET INDEX IN BOSNIA AND HERZEGOVINA
Author(s) -
Edin Djedović,
Herezegovina,
Irfan Djedović
Publication year - 2019
Publication title -
human
Language(s) - English
Resource type - Journals
eISSN - 2232-996X
pISSN - 2232-9935
DOI - 10.21554/hrr.041909
Subject(s) - stock market index , index (typography) , volatility (finance) , islam , capitalization weighted index , stock exchange , stock market , econometrics , economics , vector autoregression , financial economics , business , geography , finance , computer science , context (archaeology) , archaeology , world wide web
This study analyzes the impact of conventional index (SASX-30) on Islamic index (SASE-BBI) in Bosnia and Herzegovina. In the study are used daily index observations spanning in a period from October 2016 until May 2018. The data is obtained from the Sarajevo Stock Exchange 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 negative impact of conventional index volatility (SASX-30) on Islamic index volatility (SASX-BBI) in Bosnia and Herzegovina.