Publication:
The Effects of the Introduction Syariah Index To the Bursa Malaysia Stock Index and Bursa Malaysia Stock Index Futures

Simple item page
dc.contributor.authorAhmad, I.en_US
dc.contributor.authorAbdul Rahim, F.en_US
dc.contributor.authorPyeman, J.en_US
dc.contributor.authorAsmaddy Harisen_US
dc.date.accessioned2024-05-29T08:20:02Z
dc.date.available2024-05-29T08:20:02Z
dc.date.issued2008
dc.description.abstractThis study tries to investigate the effect of introduction of Syariah Index to the price relationships and volatility transmissions between the Bursa Malaysia stock Index and Bursa Malaysia Stock Index Futures. In addition, it also tries to find the relationships between Bursa Malaysia Stock Index, Bursa Malaysia Stock Index Futures and Syariah Index. Vector Autoregression (VAR) GJR-GARCH model was applied to nine years daily price of the variables investigated. The results present evidence that the introduction of Syariah Index has changed the price relationships and volatility transmissions between the spot and futures markets in Malaysia. Furthermore, the findings of this study show that the there are feedback effects in the price relationships between the investigated. The findings also suggest that Bursa Malaysia Stock Index is the main information producer in predicting and analyzing the volatility of Bursa Malaysia Stock Index Futures and Syariah Index. Finally, the overall conditional correlation estimates between the three variables investigated are higher in the unrestricted model form compared to the restricted model form.
dc.identifier.epage134
dc.identifier.issn1823-075X
dc.identifier.issue1
dc.identifier.spage113
dc.identifier.urihttp://jmifr.usim.edu.my/index.php/jmifr/article/view/78
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/14506
dc.identifier.volume5
dc.languageEnglish
dc.language.isoen_USen_US
dc.publisherUniversiti Sains Islam Malaysiaen_US
dc.relation.ispartofThe Journal of Muamalat and Islamic Finance Research
dc.sourceOpen Journal Systems
dc.subjectSpot-futuresen_US
dc.subjectSyariah indexen_US
dc.subjectLead-lagen_US
dc.subjectVolatilityen_US
dc.subjectVAR GJR-GARCHen_US
dc.subjectIslamic financial marketsen_US
dc.titleThe Effects of the Introduction Syariah Index To the Bursa Malaysia Stock Index and Bursa Malaysia Stock Index Futuresen_US
dc.typeArticleen_US
dspace.entity.typePublication

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
The Effects Of The Introduction Syariah Index To The Bursa Malaysia Stock Index And Bursa.pdf
Size:
3.04 MB
Format:
Adobe Portable Document Format
Download

Collections

Journal of Muamalat and Islamic Finance Research (JMIFR)