Volatility forecasting is an imperative research field in financial markets and crucial component in most financial decisions. Nevertheless, which model should be used to assess volatility remains a complex issue as different volatility models result in different volatility approximations. The...

Due to dynamic challenge in stock market risk and return measurement, financial practitioners and academics are quite concerned with the development of asset pricing studies. Moreover, validity of the existing theories in the recent Asian financial difficult years stimulates another challenge to...

In determining the rate of return of stocks, many models have been introduced. Equilibrium models like APT and multifactor models have been used in calculating the level of risk and returns through portfolio formation. Since the development initiated by Markowitz, the empirical results of many...

Market discipline has been well recognized as effective means for preventing excessive business risk taking. Nevertheless, as the nature of investment in Islamic Finance may not meet the required characteristics, the ability of market discipline to work in its particular instrument market still...

In measuring risk, practitioners have practiced one of the two extreme approaches for so long, i.e. historical simulation or risk metrics. Meanwhile, academicians tend to apply methods based on the latest development in financial econometrics. In this study, we try to assess one of important...

Many studies have investigated how markets react to the change of conventional market index composition. Nevertheless, how investors in emerging markets react to changes to an Islamic Index composition still needs to be answered. This study empirically investigates market responses to...

Islamic banks operate without involving interest, and therefore are believed to be less risky during financial crises than conventional banks. This advantage may not be significant if the government either partially or fully guarantees bank deposits. In the presence of deposit insurance the...