马来西亚传统股票指数与伊斯兰股票指数波动溢出效应建模

Journal Human Research in Rehabilitation Pub Date : 2020-09-01 DOI:10.21554/hrr.092002

Edin Djedović, Herzegovina, U. Ergun, Irfan Djedović

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引用次数: 1

摘要

本文分析了马来西亚富时马来西亚KLCI (KLSE)传统指数与马来西亚富时马来西亚Bursa马来西亚伊斯兰教指数(FTFBMHS)伊斯兰教指数之间的波动溢出效应。2002年至2018年的月度观测数据来自investing.com数据库。本文采用GARCH模型和Johansen协整检验来研究波动溢出效应和两个指标之间的关系。分析结果表明，在短期内，富时马来西亚KLCI指数和富时马来西亚Bursa sharia指数之间存在波动溢出，而在长期内，两者之间没有关系。编制伊斯兰指数的方法是基于伊斯兰教法。关键词:传统

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MODELLING VOLATILITY SPILLOVER BETWEEN CONVENTIONAL AND ISLAMIC STOCK INDEX IN MALAYSIA

This paper analyzes the vollatility spillover between the conventional index in Malaysia FTSE Malaysia KLCI (KLSE) and the Islamic index in Malaysia FTSE Bursa Malaysia Shariah Index (FTFBMHS). Monthly observations spanning in a period from 2002 to 2018 are obtained from investing.com database. GARCH model and Johansen cointegration test are used to investigate volatility spillover and the relationship between two indices. The results of the analysis indicate that in the short-run there is volatility spillover between FTSE Malaysia KLCI and FTSE Bursa Malaysia Shariah Index, while in the long-run there is no relationship between the two indices. The methodology of compiling Islamic indeces is based on Shariah law. Keywords: Conventional

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Journal Human Research in Rehabilitation

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