Volatility and information behavior : a study on Sharīah index and general index
Other Title(s)
حدة التقلب و الاستجابة للمعلومات : دراسة مقارنة بين المؤشر الإسلامي و المؤشر التقليدي
Author
Source
Journal of King Abdulaziz University : Islamic Economics
Issue
Vol. 33, Issue 1 (31 Jan. 2020), pp.21-33, 13 p.
Publisher
King Abdulaziz University Scientific Publishing Center
Publication Date
2020-01-31
Country of Publication
Saudi Arabia
No. of Pages
13
Main Subjects
Abstract EN
-The fact that there is an increased demand for Sharīʿah-based financial products demands modeling the risk-return structures of such products for the benefits of investors, practitioners, and policymakers.
This study attempts to discover the superiority of information and volatility patterns of Sharīʿah-based indices over the general index traded in the Malaysian stock exchange.
The Vector Error Correction Model combined with EGARCH is administered to achieve the objectives of this study.
The findings imply the existence of a long-term equilibrium relationship between the two types of stocks and a contemporaneous as well as a bi-directional lead-lag association between a Sharīʿah-based index and the general index.
Volatility spillover and mixed levels of persistence are also identified.
It is also noticed that the information superiority cannot be attributed to any of these indices.
The study concludes that there is not much difference between a Sharīʿah-based index and a general index in terms of performance
American Psychological Association (APA)
Mithal, Afdal Ilath. 2020. Volatility and information behavior : a study on Sharīah index and general index. Journal of King Abdulaziz University : Islamic Economics،Vol. 33, no. 1, pp.21-33.
https://search.emarefa.net/detail/BIM-1279385
Modern Language Association (MLA)
Mithal, Afdal Ilath. Volatility and information behavior : a study on Sharīah index and general index. Journal of King Abdulaziz University : Islamic Economics Vol. 33, no. 1 (Jan. 2020), pp.21-33.
https://search.emarefa.net/detail/BIM-1279385
American Medical Association (AMA)
Mithal, Afdal Ilath. Volatility and information behavior : a study on Sharīah index and general index. Journal of King Abdulaziz University : Islamic Economics. 2020. Vol. 33, no. 1, pp.21-33.
https://search.emarefa.net/detail/BIM-1279385
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 30-31
Record ID
BIM-1279385