Jakarta Sharia Stock Index and International Sharia Leading Stock Indices: Comparison of Sharia Screening Process

2021 ◽  
Vol 13 (1) ◽  
pp. 1
Author(s):  
Zuraidah Mohd Sanusi ◽  
Athaya Reisya Nabila ◽  
Dwiraptono Agus Harjito
Keyword(s):  
Stock Index ◽  
Screening Process ◽  
Stock Indices

ANALISIS DIVERSIFIKASI INTERNASIONAL : PEMBENTUKAN PORTOFOLIO OPTIMAL INDEKS SAHAM DUNIA (Studi Kasus Pada Indeks Saham Aktif Dunia Versi The Wall Street Journal)

2019 ◽  
Vol 6 (02) ◽  
Author(s):  
Rony Mahendra ◽  
Erwin Dyah Astawinetu
Keyword(s):  
Wall Street Journal ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Wall Street ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Indices ◽  
The Wall Street Journal

The research objective is to establish an optimal portfolio and know the difference between risk and return stock index portfolio candidates and non-candidates. Method used in the preparation of this research portfolio is the single index model, while the samples of this study are active world stock indices version of The Wall Street Journal during the period August 2012 - August 2016 and The Global Dow is used as the benchmark stock index. In establishing the optimal portfolio is used two perspectives: the Rupiah perspective and the U.S. Dollar perspective. The results showed there were three stock indices from the perspective of Rupiah and 8 share index menurutperspektif U.S. Dollar that make up the optimal portfolio, with the cut-of-pointsebesar 0,01393menurut Rupiah perspective and the perspective of 0.0078 US Dollars Based on the perspective of return expectations Rupiah obtained by 0.0258 with a risk of 0.06512. Berdarkan perspective of US Dollars, obtained return expectations at 0.0154 with a risk of 0.0292. From the test results showed that the hypothesis, the return on both perspectives there are significant differences between the index of the candidate, with a non-candidate. Then the risk of stock index, among the candidates, with a non-candidate, the Rupiah perspective there is no difference, but in the perspective of US Dollars, there are significant differences.Keywords: Single Index Model, candidate portfolio, optimal portfolio, expected return, excess return to beta, cut-off-point

Jakarta Sharia Stock Index and international Sharia leading stock indices: comparison of Sharia screening processes

2021 ◽  
Vol 13 (2) ◽  
pp. 107
Author(s):  
Dwiraptono Agus Harjito ◽  
Athaya Reisya Nabila ◽  
Zuraidah Mohd Sanusi
Keyword(s):  
Stock Index ◽  
Stock Indices

scholarly journals The Effect of Exchange Value on the Stock Index Listed in Indonesia Stock Exchange during Covid-19 Pandemic

2021 ◽  
Vol 2 (1) ◽  
pp. 6-14
Author(s):  
Zahra Zhafira ◽  
Einde Evana ◽  
Ratna Septiyanti
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Linear Regression ◽  
Exchange Rates ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Stock Index ◽  
Simple Linear Regression ◽  
Simple Linear Regression Analysis ◽  
Stock Indices

This study aims to examine the effect of exchange rates on the stock index during the Covid-19 pandemic. This research was conducted using secondary data. The population in this study were all stock indices listed on the Indonesia Stock Exchange with a sample size of 89 and a total stock index of 34. The study period was 4 months, 17 January 2020 to 20 May 2020. The sample data collection of this study used the purposive method. Sampling with world economic conditions and Indonesia which are weakening due to the Covid-19 pandemic and based on the phenomenon that the exchange rate is experiencing a continuous movement even every year the exchange rate depreciates IDR against the US Dollar. One of the causes of the high fluctuation of the rupiah exchange rate against the dollar came from economic factors such as inflation, the interest rate on Bank Indonesia certificates during the Covid-19 pandemic. This study uses a simple linear regression analysis method using SPSS V.26. The results of simple linear regression analysis show that exchange rates have a negative and significant effect on all stock indices listed on the Indonesia Stock Exchange, these results have similarities or differences with the results of research in other emerging market countries.

scholarly journals COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence

2021 ◽  
Vol 14 (8) ◽  
pp. 389
Author(s):  
Adil Saleem ◽  
Judit Bárczi ◽  
Judit Sági
Keyword(s):  
Stock Index ◽  
Market Model ◽  
Market Reactions ◽  
Health Crisis ◽  
Stock Indices ◽  
Thomson Reuters ◽  
Short Run ◽  
Study Methodology ◽  
Stock Market Reactions ◽  
Stock Indexes

The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market’s reaction and changes in volatility before and during this pandemic. The market model of event study methodology was employed to analyze Islamic stock market reactions in nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized autoregressive conditional heteroscedasticity (GARCH) method was used. Nine Islamic stock indices were selected for this study from the Thomson Reuters data stream. The results suggest that, in the short run, the Islamic Australian stock index and Islamic GCC stock index remained stable for the first 15 days following news of the pandemic. The Islamic stock indexes of Qatar, UAE, ASEAN, MENA, MENASA, and Bahrain were significantly affected by the outbreak in the short-term. On the other hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by the WHO. Moreover, volatility shocks tended to persist for a longer period after COVID-19.

Modelling the Paradox in Stock Markets by Variance Ratio Volatility Estimator that Utilises Extreme Values of Asset Prices

2016 ◽  
Vol 15 (3) ◽  
pp. 333-361 ◽  
Author(s):  
Muneer Shaik ◽  
S. Maheswaran
Keyword(s):  
Random Walk ◽  
Stock Markets ◽  
Asset Prices ◽  
Extreme Values ◽  
Jel Classification ◽  
Stock Index ◽  
Variance Ratio ◽  
Stock Indices ◽  
Markov Random ◽  
Markov Random Walk

We document the presence of the random walk effect in stock indices and, at the same time, find that the constituent stocks of the indices are excessively volatile. This gives rise to a paradox in stock markets between the behaviour of the stock index and its constituent stocks. We address this phenomenon in this article and reconcile the seemingly contradictory inferences by extending the Binomial Markov Random Walk (BMRW) model. JEL Classification: C15, C58, G15

scholarly journals The Impact of Macroeconomic Factors on US Islamic and Conventional Equity

2019 ◽  
Vol 32 (2) ◽  
pp. 43-58
Author(s):  
Mazhar Hallak Kantakji Mazhar Hallak Kantakji
Keyword(s):  
Interest Rate ◽  
Industrial Production ◽  
Stock Index ◽  
Screening Process ◽  
Macroeconomic Factors ◽  
Long Run ◽  
The Us ◽  
Endogenous Variables ◽  
Short Run ◽  
The Impact

This study explores the influence of economic fundamentals on both Islamic and conventional equity in the US stock market by applying various methods of time series techniques focusing on the period from January 1996 to September 2013. The empirical results show that the exogenous variables are industrial production (IP), interest rate (T3), and consumer production index (CPI); whereas Islamic stock index (IS), conventional stock index (CS), and money supply (M2) are endogenous variables. When IP, T3, or CPI receives a shock, it will deviate from the equilibrium and will transmit the shock to other variables whereas if IS, CS, or M2 undergoes a shock, the long-run combination will correct it through the short-run adjustment to the equilibrium. The empirical findings also reveal a higher impact of industrial production and lower impact of interest rate on Islamic equity, as compared to conventional equity. Our results are consistent with the theory that Islamic finance, due to its effective Sharīʿah screening process, is more prevalent in the real economic sector and less associated with interest-based activities.

scholarly journals Volatility of Regional Sharia Compliance Returns and US News Impact

2018 ◽  
Vol III (I) ◽  
pp. 294-307
Author(s):  
Kashif Hamid ◽  
Rana Shahid Imdad Akash ◽  
Muhammad Mudasar Ghafoor
Keyword(s):  
Bad News ◽  
Portfolio Diversification ◽  
Good News ◽  
Stock Index ◽  
Leverage Effect ◽  
Pricing Models ◽  
Stock Indices ◽  
Long Run ◽  
Daily Data ◽  
The Impact

Investigation of the impact of US News proxy on the returns of regional sharia compliance indices and volatility is the primary aim of this study. The daily data of Dow Jones Islamic index (DJII), Jakarata Islamic Index (JKII), Karachi Meezan Islamic Index (KMI) and Standard & Poor 500 stock index has been taken for the period of July 01, 2013 to June 30, 2018. GARCH (1,1) is extended with US News proxy for KMI, DJII and JKII. US news proxy identifies that leverage effect reveal the long run persistency in volatility. EGARCH (1,1) model indicates that higher volatility has bee also increased by bad news than good news due to leverage effect in sharia compliance returns. This study leads to extend various assets pricing models by modeling the volatility and will also inform the international and regional investors about the new trends of investment in Islamic stock indices and portfolio diversification.

Estimating Long-Term Volatility on National Stock Exchange of India

2019 ◽  
pp. 229-237
Keyword(s):  
Stock Exchange ◽  
Stock Index ◽  
Garch Models ◽  
Conditional Heteroskedasticity ◽  
Large Sample ◽  
Market Capitalization ◽  
Stock Indices ◽  
Autoregressive Conditional Heteroskedasticity

The main objective of this chapter is to provide an elaborate framework on the long-term volatility of the National Stock Exchange of India based on Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The CNX-100 index is one of the most diversified Indian stock indices which includes over 38 sectors of the economy. This stock index represents about 81.57% of the free-floating market capitalization of stocks listed on the National Stock Exchange (NSE) of India from March 2014. Moreover, this book chapter empirically tested volatility clusters of CNX100 index using a large sample database from October 2007 to July 2014.

An Employment-Weighted Municipal Stock Index

2021 ◽  
Vol 16 (12) ◽  
pp. 11
Author(s):  
Chris Brune ◽  
James Files ◽  
Philip Rice
Keyword(s):  
Performance Measurement ◽  
Economic Performance ◽  
Stock Index ◽  
Economic Conditions ◽  
Stock Indices ◽  
Macroeconomic Indicators ◽  
Local Officials ◽  
State And Local ◽  
Local Levels ◽  
Fundamental Indexing

State and local officials are often tasked with policy decisions that are influenced by projections of future economic conditions. However, properly assessing and predicting local economic performance is challenging. Common macroeconomic indicators can be helpful, but additional tools are needed. Stock indices have traditionally been used in the investment community to evaluate performance. While a recent surge in fundamental indexing has led to a debate over performance measurement, other uses of fundamental indices have been largely ignored. We introduce an employment-weighted stock index as a supplement to traditional forecasting measures for policymakers at the state and local levels.

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