VOLATILITY OF REGIONAL SHARIA COMPLIANCE RETURNS AND US NEWS IMPACT

http://dx.doi.org/10.31703/grr.2018(III-I).21      10.31703/grr.2018(III-I).21      Published : Dec 1
Authored by : KashifHamid , Rana ShahidImdadAkash , MuhammadMudasarGhafoor

21 Pages : 294-307

References

  • 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
  • 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

    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