Narrow search
Showing 1 - 10 of 150,325
Cover Image
Co-movement and causal relationships between conventional and Islamic stock market returns under regime-switching framework
Mathlouthi, Fatma; Bahloul, Slah - In: Journal of capital markets studies 6 (2022) 2, pp. 166-184
Purpose This paper aims at examining the co-movement dependent regime and causality relationships between conventional and Islamic returns for emerging, frontier and developed markets from November 2008 to August 2020. Design/methodology/approach First, the authors used the Markov-switching...
Persistent link: https://www.econbiz.de/10013413445
Cover Image
Islamic and conventional equity index co-movement and volatility transmission : evidence from Pakistan
Jebran, Khalil; Chen, Shihua; Tauni, Muhammad Zubair - In: Future Business Journal 3 (2017) 2, pp. 98-106
run association is explored using VECM model. The volatility spillover dynamics is examined using the GARCH and EGARCH …
Persistent link: https://www.econbiz.de/10011862069
Cover Image
Impact of ethical screening on risk and returns : the case of constructed Moroccan Islamic stock indices
Bousalam, Issam; Hamzaoui, Moustapha - In: Journal of financial regulation and compliance : an … 24 (2016) 3, pp. 268-291
Persistent link: https://www.econbiz.de/10011563858
Cover Image
Do Islamic stocks outperform conventional stocks during crisis periods? : a global comparison
Alamgir, Muhammad; Cheng, Ming-Chang - In: Global business and finance review 28 (2023) 6, pp. 23-47
/methodology/approach: The study uses mean and cumulative return values and the GARCH (1 1) model to examine the volatility performance of stock …
Persistent link: https://www.econbiz.de/10014443248
Cover Image
Uncovering the effect of news signals on daily stock market performance : an econometric analysis
Raza, Shahid; Sun, Baiqing; Kay-Khine, Pwint; Kemal, … - In: International Journal of Financial Studies : open … 11 (2023) 3, pp. 1-25
. Utilizing simple OLS regression and ARCH/GARCH regression methods, we determine the best model for analysis. The results reveal … react to negative news, making them risk-averse. Our findings suggest that the ARCH/GARCH models are better at predicting …
Persistent link: https://www.econbiz.de/10014419406
Cover Image
Calendar anomalies in the stock markets : conventional vs Islamic stock indices
Hasan, Md. Bokhtiar; Hassan, M. Kabir; Rashid, Md. Mamunur - In: Managerial finance 48 (2022) 2, pp. 258-276
Persistent link: https://www.econbiz.de/10013173291
Cover Image
Dynamic relation between global Islamic and conventional sectoral stock and bonds indexes
Tuysuz, Sukriye - In: International journal of financial engineering 7 (2020) 2, pp. 1-43
Persistent link: https://www.econbiz.de/10012602943
Cover Image
Does Shari'ah screening cause abnormal returns? : empirical evidence from Islamic equity indices
Ashraf, Dawood - In: Journal of business ethics : JOBE 134 (2016) 2, pp. 209-228
Persistent link: https://www.econbiz.de/10011471281
Cover Image
Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015
Persistent link: https://www.econbiz.de/10011326724
Cover Image
Forecasting JSE and AEX volatility with GARCH models
Cheteni, Priviledge; Matsongoni, Herrison; Umejesi, … - In: African journal of business and economic research : AJBER 18 (2023) 4, pp. 461-473
Persistent link: https://www.econbiz.de/10014574435