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An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT W...

Kamaruzdin, Thaqif; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014

in correlation to the market implying that IFSIs volatility may be independent of the market due to assets that require …

Persistent link: https://www.econbiz.de/10011113217

Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis

Mokhtar, Maznita; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013

Since its debut into the islamic capital markets landscape in 2005, islamic Real Estate Investment Trusts (REITs) have not shown significant progress in attracting foreign investment, limiting their potential as the ideal asset class for the Shariah compliant investor. It was suggested that a...

Persistent link: https://www.econbiz.de/10011207083

Longevity hedge effectiveness: a decomposition

Cairns, Andrew; Dowd, Kevin; Blake, David; Coughlan, Guy - Volkswirtschaftliche Fakultät, … - 2011

closely related to the correlation between the value of the hedge and the value of the pension liability. The key contribution … of this paper is to show how correlation and, therefore, hedge effectiveness can be broken down into contributions from a … number of distinct types of risk factor. Our decomposition of the correlation indicates that population basis risk has a …

Persistent link: https://www.econbiz.de/10009371836

Measuring Macroeconomic Uncertainty in Zimbabwe

Bonga, Wellington Garikai - 2019

What matters to economic decision-making is whether the economy has become more or less predictable. People and businesses use information around them to form judgements about what might happen in the future. The rise in uncertainty might be associated with increased concern about extreme...

Persistent link: https://www.econbiz.de/10012866688

Predicting the direction of US stock markets using industry returns

Pönkä, Harri - Volkswirtschaftliche Fakultät, … - 2014

In this paper, we examine the directional predictability of excess stock market returns by lagged excess returns from industry portfolios and a number of other commonly used variables by means of dynamic probit models. We focus on the directional component of the market returns because, for...

Persistent link: https://www.econbiz.de/10011211851

Relationship between macroeconomic variables and stock market index: evidence from India

Pathan, Rubina; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013

The purpose of this paper is to study the direction of causality between the stock market and macroeconomic variables. India is taken as a case study. Although, there have been many studies which attempted to find out the relationship between Indian stock market and economic variables, this...

Persistent link: https://www.econbiz.de/10011212585

The different impact of conventional interest rates on Islamic stock market, Islamic banking and Islamic insurance: evidence from Malaysia

Othman, Arshad Nuval; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014

This paper seeks to close the gap of the lack of empirical evidence surrounding the different impact of conventional interest rates on Islamic finance components – Islamic stock markets, Islamic banking and Islamic insurance (called takaful). Such evidence remains imperative in order for the...

Persistent link: https://www.econbiz.de/10011212777

Does the shariah index move together with the conventional equity indexes?

Park, Kwang Suk; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2015

Generally, Shariah (Islamic) indices are considered to have lower portfolio betas relative to conventional ones. The lower portfolio beta of Islamic indexes is a logical result of Shariah screening. As Shariah screening eliminates stocks with high financial leverage, the resulting portfolio beta...

Persistent link: https://www.econbiz.de/10011267863

Forecasting Coherent Volatility Breakouts

Didenko, Alexander; Dubovikov, Michael; Poutko, Boris - Volkswirtschaftliche Fakultät, … - 2015

The paper develops an algorithm for making long-term (up to three months ahead) predictions of volatility reversals based on long memory properties of financial time series. The approach for computing fractal dimension using sequence of the minimal covers with decreasing scale is used to...

Persistent link: https://www.econbiz.de/10011267868

Is gold good for hedging? lessons from the Malaysian sectoral stock indices

Rahim, Yasmin; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2015

humble attempt to examine the correlation and causality between the Malaysian sectoral stock indices and gold applying …

Persistent link: https://www.econbiz.de/10011267877

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