波动率与信息行为:基于shari和General指数的研究

Q3 Economics, Econometrics and Finance

Journal of King Abdulaziz University, Islamic Economics Pub Date : 2020-01-01 DOI:10.4197/islec.33-1.2

Mohammad Imdadul Haque, Afsal Ellath Meethal Mohammad Imdadul Haque, Afsal Ellath Meethal

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引用次数: 0

摘要

事实上，对基于shari - tah的金融产品的需求不断增加，需要为投资者、从业人员和政策制定者的利益建立此类产品的风险回报结构模型。本研究试图发现在马来西亚证券交易所交易的基于沙尔基指数的信息和波动模式的优越性。采用向量误差校正模型与EGARCH相结合的方法来实现本研究的目标

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Volatility and Information Behavior: A Study on Sharīʿah Index and General Index

The fact that there is an increased demand for Sharīʿah-based financial products demands modeling the risk-return structures of such products for the benefits of investors, practitioners, and policymakers. This study attempts to discover the superiority of information and volatility patterns of Sharīʿah-based indices over the general index traded in the Malaysian stock exchange. The Vector Error Correction Model combined with EGARCH is administered to achieve the objectives of this study

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来源期刊

Journal of King Abdulaziz University, Islamic Economics Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.60

自引率

0.00%

发文量

期刊介绍： The aims and scope of the journal include: -To develop the emerging paradigm of Islamic economics on scientific lines through publishing original works in this field that pass its peer review process. -To promote dialogue and discussion on current issues in the fields of Islamic economics and finance among the international community of scholars. -To encourage empirical research on Islamic finance, takaful, zakah, awqaf and other Islamic institutions including case studies from Muslim economies. -Contemporary global economic issues viewed from an Islamic perspective. To publish book reviews of important works published in the field, including books in conventional economics, business and finance having some connection with Islamic economics and/or finance.