scholarly journals A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification

2020 ◽  
Vol 13 (4) ◽  
pp. 63 ◽  
Author(s):  
Samia Nasreen ◽  
Syed Asif Ali Naqvi ◽  
Aviral Kumar Tiwari ◽  
Shawkat Hammoudeh ◽  
Syed Ale Raza Shah
Keyword(s):  
Value At Risk ◽  
Positive Association ◽  
Stock Index ◽  
Stock Indices ◽  
Daily Data ◽  
Cross Correlation Analysis ◽  
Time Diversification ◽  
Short Time ◽  
Stock Index Returns

Investors are interested in knowing whether sukuk bonds and shariah stock indices in the Gulf Corporation Council (GCC) region are related. This study examines the connectedness between the sukuk- and shariah-compliant stock indices in the GCC financial markets. Bivariate and multivariate wavelet approaches are applied to the daily data covering the period 10 July 2008 to 15 May 2017. The empirical findings demonstrate a strong correlation between these GCC sukuk bond indices and shariah stock indices. The degree of connectedness between these sukuk and shariah stock indices varies across time and scale. A strong and positive association is observed in the short term and a negative association is evident in the long term. The same findings are observed, using the wavelet cohesion approach that also validates the existence of portfolio diversification opportunities at a short-time horizon. The multivariate cross-correlation analysis reveals that these sukuk and shariah stock markets are highly integrated across time and scale. Furthermore, the value at risk (VaR) for the sukuk bond–shariah stocks portfolio is performed to highlight the significance of the wavelet analysis. The outcomes show that portfolio stocks are variable with respect to time or scale (time diversification). Overall, analyzing the sukuk bond–shariah stock index returns in the GCC at a multiscale level makes it easier for financial agents dealing with heterogeneous trading horizons to assess the benefits of diversifications.

scholarly journals HOW DID COVID-19 PANDEMIC AFFECT THE TOURISM INDEX IN BORSA ISTANBUL?

2021 ◽  
Author(s):  
Ercan Özen ◽  
Letife Özdemir
Keyword(s):  
Regression Model ◽  
Regression Method ◽  
Stock Index ◽  
Daily Data ◽  
Tourism Sector ◽  
The Impact ◽  
Bound Test ◽  
Cointegration Relationship ◽  
Ardl Bound Test

This study aims to investigate the impact of the Covid-19 pandemic on Turkey's tourism sector. In the study, for the period 12 March 2020 - 31 August 2020 the daily data of the BIST tourism stock index and Covid-19 case and death counts in Turkey were used. The cointegration relationship between the Covid-19 pandemic and the BIST tourism index was investigated with the ARDL bound test. In addition, the effect of the Covid-19 pandemic on the BIST tourism index was tested with the FMOLS regression method. As a result of the ARDL bound test, it was determined that there is a long-term cointegration relationship between the Covid-19 case and death numbers and the BIST tourism index. According to the FMOLS regression model results, it is seen that the deaths of Covid 19 significantly affect the tourism index. A 1% increase in the number of deaths causes the BIST tourism index to decrease by 0.08%. The coefficient of the number of Covid-19 cases is not significant, showing that the number of cases does not have a sufficient effect on the tourism index.

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.

scholarly journals Comparison of the Effect of Vix Fear Index on Stock Exchange Indices of Developed and Developing Countries: the G20 Case

2020 ◽  
Vol 15 (1) ◽  
pp. 105-121
Author(s):  
Ömer İskenderoglu ◽  
Saffet Akdag
Keyword(s):  
Developing Countries ◽  
Causal Relationship ◽  
Stock Exchange ◽  
Granger Causality Test ◽  
Developed Countries ◽  
Stock Index ◽  
Causality Test ◽  
Daily Data ◽  
Fear Index ◽  
Stock Index Returns

AbstractThis study aims to examine the potential causal relationship between the VIX and the indicator stock exchange index returns of G20 (9 developed and 10 developing) countries. Nineteen countries of the sample are G20 countries with available data. In this respect, the frequency domain Granger causality test of Breitung and Candelon (2006) is employed for the daily data between March 2011 and December 2017. The results obtained from the study indicate that there is no causal relationship between the VIX and the returns of the NASDAQ 100 index in developed countries. Similarly, no causal relationship is detected which runs from the VIX to the BIST100, BOVESPA, MERVAL, S&P/BMV IPC and TADAWUL stock index returns in developing countries. As a result, the causal relationship is more tend to be found in developed countries in comparison to developing countries.

scholarly journals SPEED OF MEAN REVERSION: AN EMPIRICAL ANALYSIS OF KSE, LSE AND ISE INDICES

2018 ◽  
Vol 24 (4) ◽  
pp. 1435-1452 ◽  
Author(s):  
Rana Imroze Palwasha ◽  
Nawaz Ahmad ◽  
Rizwan Raheem Ahmed ◽  
Jolita Vveinhardt ◽  
Dalia Štreimikienė
Keyword(s):  
Empirical Analysis ◽  
Stock Markets ◽  
Research Study ◽  
Mean Reversion ◽  
Reversion Rate ◽  
Trade Off ◽  
Stock Indices ◽  
Daily Data ◽  
The Mean

The purpose of this study is to determine the presence of mean reversion in the stock markets indices of Pakistan, moreover, to measure, and compare the speed of mean reversion of the stock markets indices across Pakistan. In order to carry out the research study, the daily data of three stock indices of Pakistan such as: KSE-100, LSE-25 and ISE-10 are collected from 2003 to 2014. After the application of tests such as ARCH and GARCH, it was found that returns series of KSE-100, LSE-25 and ISE-10 indices exhibit mean reversion, indicating that the returns revert back to their historical value after reaching an extreme value. Further, the mean reversion rate shows that KSE-100 index has the slowest mean reversion, however, the ISE-10 index has the fastest mean reversion among the three indices. Therefore, the results of the study concluded that KSE-100 index, due to the slowest mean reversion rate has higher volatility over a longer period of time. On the contrary, since, ISE-10 index has exhibited the fastest mean reversion with the lowest volatility as compared to others. But due to fast mean reversion rate, it will help investors to gain profits over a shorter period of time. Thus, it can be recommended that the investor willing to bear the risk of time and looking for long-term investment should invest in KSE-100 index. However, investors looking for higher profits in a shorter period can invest in the ISE-10 index but with higher risk-returns trade-off.

scholarly journals WAVELET ANALYSIS OF THE CRISIS EFFECTS IN STOCK INDEX RETURNS

Ekonomika ◽  
2013 ◽  
Vol 92 (1) ◽  
pp. 78-96
Author(s):  
Tetyana Kravets ◽  
Anastasiia Sytienko
Keyword(s):  
Neural Networks ◽  
Wavelet Transform ◽  
Wavelet Decomposition ◽  
Transformation Method ◽  
Stock Index ◽  
Decomposition Techniques ◽  
Combined Application ◽  
Stock Indices ◽  
The World ◽  
Stock Index Returns

Abstract. The article considers local peculiarities of the world stock indices in 2007–first half 2012 and offers a comparative analysis of the indices. The research is based on the time series decomposition of the most liquid European, Asian, USA, and Brazil stock indices. The aim of the research was to localize and describe the crisis effects on index dynamics in time and scope by using wavelet decomposition techniques. This approach allows to identify clusters of stock indices and to study their common and individual features. The window transformation method is used for the investigation of index returns’ volatility dynamics. This method allows to investigate the nature and characteristics of the identified critical waves in the stock markets studied. The combined application of wavelet transform, neural networks and SSA is proposed for the prediction purposes. This approach is used for the return forecast of the German index DAX30.Key words: economic crisis, stock index returns, the wavelet transform, neural networks, SSA

The impact of the pandemic on the quotes of the leading players in the QSR market

2021 ◽  
pp. 190-204
Author(s):  
Dmitrii Vasilyevich Mashin
Keyword(s):  
Service Industry ◽  
Hotel Industry ◽  
Stock Index ◽  
Bond Yields ◽  
Stock Indices ◽  
The Us ◽  
The World ◽  
Available Information ◽  
The Impact ◽  
Stock Index Returns

All over the world, non-essential businesses were closed during the pandemic, which subsequently led to a deterioration in the economic condition of the whole world, the main negative factor was the surprise. The world economy was not prepared for such events. The service industry was completely destroyed along with the tourism and hotel industry. Companies that are able to work remotely were able to continue to work and survive the crisis. But industries that require personal interaction have been almost completely destroyed. This study aims to examine the impact of the COVID-19 pandemic on stock markets, as the stock market provides an updated summary of views on the ultimate impact of the COVID-19 pandemic. Based on the theoretical structure, the prices of securities always fully refl ect all available information. As a result, it can be expected that there should be a strong link between the COVID-19 pandemic and stock index returns. The aim of the work is to study the impact of the pandemic on the quotes of the leading players in the QSR market. To achieve this goal, the author analyzed the dynamics of stock indices that were aff ected by the pandemic, studied the prices per troy ounce of gold on MOEX, the US unemployment rate, the position of the stock indices of the US, Russia, Germany, Great Britain and France relative to 01.01.2020, the index of bond yields of companies with a Ba/BB rating.

Markets, Technological Change and Economic Growth (The Quaid-i-Azam Lecture)

1994 ◽  
Vol 33 (4I) ◽  
pp. 327-356 ◽  
Author(s):  
Richard G. Lipsey
Keyword(s):  
United States ◽  
Economic Growth ◽  
Developing Countries ◽  
Common Ground ◽  
The United States ◽  
Industrial Countries ◽  
Canadian Institute ◽  
Primary Focus ◽  
Short Time

I am honoured to be invited to give this lecture before so distinguished an audience of development economists. For the last 21/2 years I have been director of a project financed by the Canadian Institute for Advanced Research and composed of a group of scholars from Canada, the United States, and Israel.I Our brief is to study the determinants of long term economic growth. Although our primary focus is on advanced industrial countries such as my own, some of us have come to the conclusion that there is more common ground between developed and developing countries than we might have first thought. I am, however, no expert on development economics so I must let you decide how much of what I say is applicable to economies such as your own. Today, I will discuss some of the grand themes that have arisen in my studies with our group. In the short time available, I can only allude to how these themes are rooted in our more detailed studies. In doing this, I must hasten to add that I speak for myself alone; our group has no corporate view other than the sum of our individual, and very individualistic, views.

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