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An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT W...
Kamaruzdin, Thaqif; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
Islamic Finance as an industry in recent times has been celebrated for its stability and resilience. With the philosophy of risk sharing and strict rules governing its activities to be in line with Islamic Law (the Shariah), the industry is seen as an alternative to the conventional finance with...
Persistent link: https://www.econbiz.de/10011113217
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Does Indian Stock Market Provide Diversification Benefits Against Oil Price Shocks? A Sectoral Analysis
Ali, Mohsin; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
then the correlations are positive implying no diversification benefits for the investors during rising oil prices. Since …
Persistent link: https://www.econbiz.de/10011114152
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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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Dynamic causal chain of money, output, interest rate, exchange rate and prices: Nigeria as a case study
Masih, Mansur; AbdulKarim, Fatima - Volkswirtschaftliche Fakultät, … - 2014
from 1970 to 2012. The methodology employed uses several econometric techniques such as unit root tests, cointegration … economy that relies heavily on the crude oil revenue and also imports from abroad. The result of cointegration analysis …
Persistent link: https://www.econbiz.de/10011112566
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Long Run Relationship between Aggregate Stock Prices and Macroeconomic Factors in BRICS Stock Markets
Tripathi, Vanita - 2016
:Q4). Long Run Granger Causality Test, Johansen's Cointegration Test (both Bivariate & Multivariate) and Vector Error … for all the macroeconomic variables. Johansen's Cointegration results suggest presence of long run equilibrium … difference in cointegration results in pre and post crisis periods except for Inflation and Interest rate, implying that global …
Persistent link: https://www.econbiz.de/10012995658
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The effect of global financial markets and local shocks on Turkey airlines market : new evidence from structural break cointegration and causality tests
Guliyev, Hasraddin - In: Research in globalization 5 (2022), pp. 1-9
employing Maki's (2012) cointegration test considering multiple unknown structural breaks. In addition, the Granger causality …
Persistent link: https://www.econbiz.de/10014331035
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Stock Market Movements and Linkages between Emerging Markets in Asia and Developed Market Indices : Short Run and Long Run Analysis
Lingaraja, Kasilingam - 2020
of these eight countries of Asian emerging markets provide attractive diversification opportunities, for international … diversification opportunities for international portfolio investors, over a long period …
Persistent link: https://www.econbiz.de/10012832814
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Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks
Maatoug, Abderazak Ben - 2019
In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...
Persistent link: https://www.econbiz.de/10012900291
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Long-Run Linkages between US Stock Prices and Cryptocurrencies : A Fractional Cointegration Analysis
Caporale, Guglielmo Maria; de Dios Mazariegos, José Javier - 2022
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties …
Persistent link: https://www.econbiz.de/10014239604
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Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis
Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties …
Persistent link: https://www.econbiz.de/10013368898