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The Impact of Debt on Economic Growth: A Case Study of Indonesia
Swastika, Purti; Dewandaru, Ginanjar; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013
The paper is the first attempt to analyse the impact of debt on economic growth in the context of Indonesia by combining the application of wavelet and non-linear techniques. Our results tend to indicate that there are complex lead-lag dynamic interactions between external debt-to-GDP ratio and...
Persistent link: https://www.econbiz.de/10011109004
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Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis
Dewandaru, Ginanjar; Alaoui, Abdelkader; Masih, A. Mansur M. - Volkswirtschaftliche Fakultät, … - 2013
Co-movements in equity markets may reflect either financial contagion or stock market integration. While the former tends to demonstrate financial stability and resiliency, the latter has played an important role for stock market development. This paper attempts to investigate the co-movements,...
Persistent link: https://www.econbiz.de/10011110107
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Does Restricted Short Selling Bring Benefit to Stocks Listed in Islamic Capital Market? New Evidence from Malaysia based on Dynamic Panel Heterogeneous Techniques
Swastika, Putri; Dewandaru, Ginanjar; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013
vibrant Islamic capital market should promote risk sharing instruments coupled with strengthened information dissemination. …
Persistent link: https://www.econbiz.de/10011113232
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How do Macroeconomic Changes Impact Islamic and Conventional Equity Prices? Evidence from Developed and Emerging Countries
Dewandaru, Ginanjar; Rizvi, Syed Aun; Sarkar, Kabir; … - Volkswirtschaftliche Fakultät, … - 2014
In theory, the price of equity is determined by the dividend yields and growth potentials of the firms. There exists established empirical proof of the impact of macroeconomic changes to the equity markets. With the advent of Islamic equities, and the recent surge of interest in them have raised...
Persistent link: https://www.econbiz.de/10011113581
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Stock Market Co-movement and Shock Transmission: Islamic versus Conventional Equity Indices
Dewandaru, Ginanjar; Alaoui, AbdelKader; Bacha, Obiyathulla - Volkswirtschaftliche Fakultät, … - 2014
Our study measures co-movements in Islamic and conventional equity markets, to discover contagion and to measure integration level. We apply wavelet decomposition to unveil the multi-horizon nature of co-movement. We find that the subprime crisis generates fundamental-based contagion for both...
Persistent link: https://www.econbiz.de/10011113785
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Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model
Dewandaru, Ginanjar; Masih, Rumi; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
information coefficients, we find the six-month momentum and the fractal measure as momentum factors; the enterprise yield (gross …, and Bayesian Model Averaging. The out-of-sample performance of our portfolios can produce information ratios of 0.7 – 0 ….8 over the composite indices, and information ratios of 0.42 – 0.48 over the style indices, with the annualized alphas of 10 …
Persistent link: https://www.econbiz.de/10011113544