Modelling the relationship between trading volume and stock returns volatility for Islamic and conventional banks : the case of Saudi Arabia

Other Title(s)

نمذجة العلاقة بين حجم التداول و تقلب عوائد الأسهم للبنوك الإسلامية و التقليدية : حالة المملكة العربية السعودية

Author

Saci, Karimah

Source

Journal of King Abdulaziz University : Islamic Economics

Issue

Vol. 35, Issue 1 (31 Jan. 2022), pp.41-55, 15 p.

Publisher

King Abdulaziz University Scientific Publishing Center

Publication Date

2022-01-31

Country of Publication

Saudi Arabia

No. of Pages

15

Main Subjects

Banking and Financial Sciences

Abstract EN

Transparency to all parties involved in the investment process is believed to be of utmost importance in Islamic banking and finance.

Hence, the trading volume and returns volatility relationship is assumed to be weaker for sharīʿah-compliant banks compared to the conventional counterparts.

This study aims at investigating this relationship for the banking sector in Saudi Arabia.

The Granger causality tests, GARCH and EGARCH models were utilized to examine the relationship between the daily stock returns volatility and trading volume over the period of January 2015 to April 2020.

The findings of the paper support the mixture of distributions hypothesis.

Future research could look into applying different types of GARCH models to examine stock returns volatility of Islamic and conventional banks for other countries in the GCC region.

American Psychological Association (APA)

Saci, Karimah. 2022. Modelling the relationship between trading volume and stock returns volatility for Islamic and conventional banks : the case of Saudi Arabia. Journal of King Abdulaziz University : Islamic Economics،Vol. 35, no. 1, pp.41-55.
https://search.emarefa.net/detail/BIM-1314477

Modern Language Association (MLA)

Saci, Karimah. Modelling the relationship between trading volume and stock returns volatility for Islamic and conventional banks : the case of Saudi Arabia. Journal of King Abdulaziz University : Islamic Economics Vol. 35, no. 1 (Jan. 2022), pp.41-55.
https://search.emarefa.net/detail/BIM-1314477

American Medical Association (AMA)

Saci, Karimah. Modelling the relationship between trading volume and stock returns volatility for Islamic and conventional banks : the case of Saudi Arabia. Journal of King Abdulaziz University : Islamic Economics. 2022. Vol. 35, no. 1, pp.41-55.
https://search.emarefa.net/detail/BIM-1314477

Data Type

Journal Articles

Language

English

Notes

Includes bibliographical references : p. 53-54

Record ID

BIM-1314477