Danila, Nevi; Kamaludin, Kamilah; Sundarasen, Sheela; … - In: Journal of Islamic Accounting and Business Research 12 (2021) 3, pp. 380-400
Purpose: The purpose of this paper is to examine investor sentiment by measuring the impact of market sentiment shocks on the volatility of the Islamic stock index of five ASEAN countries, with noise traders as a proxy for market sentiment. Design/methodology/approach: The GJR-GARCH model is...