Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach

2006 ◽  
Vol 42 (4) ◽  
pp. 78-89 ◽  
Author(s):  
Talla Al-Deehani ◽  
Imad A. Moosa
Keyword(s):  
Time Series ◽  
Stock Markets ◽  
Volatility Spillover ◽  
Structural Time Series ◽  
Emerging Stock Markets ◽  
Time Series Approach ◽  
Structural Time

Behavior of road accidents: Structural time series approach

2014 ◽  
Author(s):  
Noor Wahida Md Junus ◽  
Mohd Tahir Ismail ◽  
Zainudin Arsad
Keyword(s):  
Time Series ◽  
Road Accidents ◽  
Structural Time Series ◽  
Time Series Approach ◽  
Structural Time

scholarly journals Ramadan Effect: A Structural Time-Series Test

2021 ◽  
Vol 12 (1) ◽  
pp. 260
Author(s):  
Abdullah Al-Awadhi ◽  
Ahmad Bash ◽  
Fouad Jamaani
Keyword(s):  
Time Series ◽  
Stock Markets ◽  
Structural Time Series ◽  
Trend Component ◽  
Stock Market Return ◽  
Muslim Majority ◽  
Structural Time ◽  
Return Seasonality ◽  
Term Data

This study investigates whether religious belief creates stock market return seasonality, focusing on the Muslim holy month “Ramadan". We use long-term data from 12 stock markets in countries with a high Muslim majority. Using a structural time-series model that takes into account a “trend component" and a stochastic “seasonal component”, we find no significant evidence of Ramadan return seasonality for the 12 stock markets over the long-term. This result suggests that there is no trend component for Ramadan effect and that Ramadan returns seasonality vanish in the long-term.

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