Geopolitical Risk and the Return Volatility of Islamic Stocks in Indonesia and Malaysia - A GARCH-MIDAS Approach

Umar Ndako, Afees Salisu and Muritala Ogunsiji

Asian Economics Letters, 2021, vol. 2, issue 3, 1-5

Abstract: In this paper, the predictive value of geopolitical risk (GPR) for the return volatility of Islamic stocks in Indonesia and Malaysia is examined. GPR data, whether global or country-specific, heighten the return volatility of Islamic stocks in both countries, albeit with a greater impact on Indonesia. Additional analyses show improved out-of-sample forecast gains with the inclusion of GPR data in the predictive model of the return volatility of Islamic stocks.

Keywords: garch-midas; out-of-sample forecast; predictability; islamic stocks; geopolitical risk (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Asian Economics Letters is currently edited by Chun-Ping Chang (Shih Chien University, Taiwan) and Professor Chien-Chiang Lee (Nanchang University, China)

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