Volatility of Regional Sharia Compliance Returns and US News Impact

Kashif Hamid, Rana Shahid Imdad Akash and Muhammad Mudasar Ghafoor
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Kashif Hamid: Lecturer, Institute of Business Management Sciences, University of Agriculture, Faisalabad, Punjab, Pakistan.
Rana Shahid Imdad Akash: Assistant Professor,University of Sargodha,Women Campus, Faisalabad, Punjab, Pakistan.
Muhammad Mudasar Ghafoor: Director,University of The Punjab, Jhelum Campus, Jhelum, Punjab, Pakistan.

Global Regional Review, 2018, vol. 3, issue 1, 294-307

Abstract: 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 and 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.

Keywords: US News; Volatility; Sharia Compliance Indices; Leverage Effect (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:aaw:grrjrn:v:3:y:2018:i:1:p:294-307

DOI: 10.31703/grr.2018(III-I).21

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