IMPACT OF CONVENTIONAL STOCK MARKET INDEX ON ISLAMIC STOCK MARKET INDEX IN BOSNIA AND HERZEGOVINA

Abstract

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.

Keywords

• conventional stock market index
• Islamic stock market index
• impact
• B&H