http://dx.doi.org/10.31703/grr.2018(III-I).21
10.31703/grr.2018(III-I).21
Published : Dec 2018
Volatility of Regional Sharia Compliance Returns and US News Impact
Investigation of the impact of US News proxy on the returns of regional sharia compliance indices and volatility is the primary aim of this study. The daily data of Dow Jones Islamic index (DJII), Jakarata Islamic Index (JKII), Karachi Meezan Islamic Index (KMI) and Standard and Poor 500 stock index has been taken for the period of July 01, 2013 to June 30, 2018. GARCH (1,1) is extended with US News proxy for KMI, DJII and JKII. US news proxy identifies that leverage effect reveal the long run persistency in volatility. EGARCH (1,1) model indicates that higher volatility has bee also increased by bad news than good news due to leverage effect in sharia compliance returns. This study leads to extend various assets pricing models by modeling the volatility and will also inform the international and regional investors about the new trends of investment in Islamic stock indices and portfolio diversification.
-
US News, Volatility, Sharia Compliance Indices, Leverage Effect
-
(1) Kashif Hamid
Lecturer, Institute of Business Management Sciences, University of Agriculture, Faisalabad, Punjab, Pakistan.
(2) Rana Shahid Imdad Akash
Assistant Professor,University of Sargodha,Women Campus, Faisalabad, Punjab, Pakistan.
(3) Muhammad Mudasar Ghafoor
Director,University of The Punjab, Jhelum Campus, Jhelum, Punjab, Pakistan.
- Asteriou, D., & Price, S. (2001). Political instability and economic growth: UK time series evidence. Scottish journal of Political Economy. 48(4) 383-399
- Bollerslev, T. (1986).Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327
- Djedovic, I., & Ergun, U. (2018). Modelling volatility spillover between conventional and Islamic stock index in the United Kingdom. Journal of Management, Economics, and Industrial Organization, 2(3), 1-17
- Fama, E. F., (1965). “The behavior of stock market prices”. Journal of Business38(1), 34-105.
- Hamid, K., & Hasan, A. (2016). Volatility Modeling and Asset Pricing: Extension of GARCH Model with Macro Economic Variables, Value-at-Risk and Semi-Variance for KSE.Pakistan Journal of Commerce and Social Sciences10(3), 569 -587
- Kishor, N., & Singh, R. P. (2014). Stock return volatility effect: Study of BRICS.Transnational Corporations Review,6(4), 406-418
- Li, Y., & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets.International Journal of Finance & Economics,20(2), 155-177
- Mian, M.G and Sankaraguruswamy.S. (2012). Investor Sentiment and Stock Market Response to Earnings News. The Accounting Review, 87(4), 1357-1384
- Narayan, P, K., & Bannigidadmath, D. (2017). Does financial news predict stock returns? New evidence from Islamic and non-Islamic stocks.Pacific-Basin Finance Journal,42, 24-45
- Nelson, Daniel B., (1991), Conditional heteroskedasticity in asset returns: a new approach.
- Pranata, N., &Nurzanah, N. (2016). Conventional and Islamic Indices in Indonesia: A Comparison onPerformance, Volatility, and the Determinants.Indonesian Capital Market Review, 113-127
- Robert F, Engle., and Victor, K., Ng. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48(5),1749-1778.
- Sukmana, R., & Kholid, M. (2012). Impact of global financial crisis on Islamic and conventional stocks in emerging market: an application of ARCH and GARCH method.Asian Academy of Management Journal of Accounting & Finance,31(2), 357-370
Cite this article
-
APA : Hamid, K., Akash, R. S. I., & Ghafoor, M. M. (2018). Volatility of Regional Sharia Compliance Returns and US News Impact. Global Regional Review, III(I), 294-307. https://doi.org/10.31703/grr.2018(III-I).21
-
CHICAGO : Hamid, Kashif, Rana Shahid Imdad Akash, and Muhammad Mudasar Ghafoor. 2018. "Volatility of Regional Sharia Compliance Returns and US News Impact." Global Regional Review, III (I): 294-307 doi: 10.31703/grr.2018(III-I).21
-
HARVARD : HAMID, K., AKASH, R. S. I. & GHAFOOR, M. M. 2018. Volatility of Regional Sharia Compliance Returns and US News Impact. Global Regional Review, III, 294-307.
-
MHRA : Hamid, Kashif, Rana Shahid Imdad Akash, and Muhammad Mudasar Ghafoor. 2018. "Volatility of Regional Sharia Compliance Returns and US News Impact." Global Regional Review, III: 294-307
-
MLA : Hamid, Kashif, Rana Shahid Imdad Akash, and Muhammad Mudasar Ghafoor. "Volatility of Regional Sharia Compliance Returns and US News Impact." Global Regional Review, III.I (2018): 294-307 Print.
-
OXFORD : Hamid, Kashif, Akash, Rana Shahid Imdad, and Ghafoor, Muhammad Mudasar (2018), "Volatility of Regional Sharia Compliance Returns and US News Impact", Global Regional Review, III (I), 294-307
-
TURABIAN : Hamid, Kashif, Rana Shahid Imdad Akash, and Muhammad Mudasar Ghafoor. "Volatility of Regional Sharia Compliance Returns and US News Impact." Global Regional Review III, no. I (2018): 294-307. https://doi.org/10.31703/grr.2018(III-I).21