Asia-Pacific Financial Markets

, Volume 25, Issue 4, pp 285–323 | Cite as

The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia

  • Noureddine Benlagha
  • Wael HemritEmail author


This paper investigates the dynamics of volatility in the stock market using competing univariate GARCH specifications. Moreover, it provides a study of the pairwise correlation pattern of stock returns for a wide range of Saudi Arabian insurance business lines by using a dynamic DCC-GARCH model. Our results show that volatility responds asymmetrically to shocks with a persistence of variance in the stock return data, supporting the presence of irrational behaviour as well as the effectiveness of a cross-market diversification strategy. Finally, we reach a point at which, between every two-business line stock returns, there is a dynamic conditional correlation.


Volatility Stock returns Insurance Saudi Arabia AR (1)-GJR–GARCH (1,1) DCC-GARCH 

JEL Classification

G22 C58 G41 


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Copyright information

© Springer Japan KK, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of Finance and Economics, College of Business and EconomicsQatar UniversityDohaQatar
  2. 2.Department of Insurance and Risk Management, College of Economics and Administrative SciencesAl Imam Mohammad Ibn Saud Islamic University (IMSIU)RiyadhSaudi Arabia

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