Monotonic Correlation Diagnostics of share price volatility for Shariah-compliant Islamic Bank: A New Insight of Islamic Financial Engineering

Nashirah Abu Bakar and Sofian Rosbi
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Nashirah Abu Bakar: Islamic Business School, College of Business, Universiti Utara Malaysia, Malaysia
Sofian Rosbi: School of Mechatronic Engineering, Universiti Malaysia Perlis, Malaysia

International Journal of Management Science and Business Administration, 2017, vol. 3, issue 2, 7-16

Abstract: The objective of this paper is to analyze the relationship between volatility rates and return rates for a share price of Bank Islam Malaysia Berhad (BIMB) from the year 2010 until 2016. The maximum volatility rate is 3.96 in July 2011, while the minimum volatility rate is 0.46 in April 2014. Next, the nonparametric analysis calculated the monotonic relationship between volatility rates and return rate for a share price of BIMB. From the analysis, the significant value is 0.000. Hence, the result rejects the null hypothesis for a Spearman correlation analysis. The numerical result shows there is a monotonic association between volatility rate and return rate for a share price of BIMB. The Spearman correlation coefficient, rs in this analysis is 0.403 indicated that there is a moderate positive correlation between volatility rate and return rate for BIMB share price.

Keywords: Islamic Bank; Volatility; Return; Spearman correlation; Financial Engineering (search for similar items in EconPapers)
JEL-codes: M00 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:mgs:ijmsba:v:3:y:2017:i:2:p:7-16

DOI: 10.18775/ijmsba.1849-5664-5419.2014.32.1001

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