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In this study, we aim to analyze the relation between return and volatility in different types of exchange-traded funds … advantages to each other: Toda-Yamamoto (1995); bootstrap based Hatemi-J (2005); volatility spillover, which allows investigating … results obtained from our analyses show that a negative relationship between return and volatility is valid for most ETF types …
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In this study, we aim to analyze the relation between return and volatility in different types of exchange-traded funds … advantages to each other: Toda-Yamamoto (1995); bootstrap based Hatemi-J (2005); volatility spillover, which allows investigating … results obtained from our analyses show that a negative relationship between return and volatility is valid for most ETF types …
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Asset prices are strongly connected to macroeconomic variables even in the presence of investor sentiment. On the other hand, if investor sentiment is a significant determinant in Islamic stock market, it will raise critiques on the need of Shariah compliant markets. Consequently, newer studies...
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