THE IMPACT OF THE OIL AND GOLD PRICE SHOCK ON ISLAMIC AND CONVENTIONAL STOCK MARKET INDICES: EVIDENCE FROM THE DCC-GARCH MODEL

Abstract

This paper aims to explain the relation between gold, oil, and financial market indexes in the US. To
do so, we applied the conditional dynamic correlation Generalized autoregressive conditional
Heteroskedasticity DCC-GARCH model on tree indexes DJIM50US, DJIA, and S&P500 representing
the US financial market, this model capture the dynamic correlations of the variance, covariance, and
correlation coefficient of the time series, and help to reflect the long-run dynamic correlation between
returns. Our results show that there is no significant correlation between gold and market indexes in
the US (for Islamic and conventional indexes), on the other hand, oil has a significant correlation with
all indexes, as well as the gold.