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Volatility and Information Behavior: A Study on Shariah Index and General Index حدة التقلب والاستجابة للمعلومات: دراسة مقارنة بين المؤشر الإسلامي والمؤشر التقليدي

Author

Listed:
  • Mohammad Imdadul Haque

    (Associate Professor, College of Business Administration, Prince Sattam bin Abdulaziz University, Saudi Arabia)

  • Afsal Ellath Meethal

    (Assistant Professor, School of Management and Business Studies, Mahatma Gandhi University, India)

Abstract

The fact that there is an increased demand for Sharīʿah-based financial products demands modeling the risk-return structures of such products for the benefits of investors, practitioners, and policymakers. This study attempts to discover the superiority of information and volatility patterns of Sharīʿah-based indices over the general index traded in the Malaysian stock exchange. The Vector Error Correction Model combined with EGARCH is administered to achieve the objectives of this study. The findings imply the existence of a long-term equilibrium relationship between the two types of stocks and a contemporaneous as well as a bi-directional lead-lag association between a Sharīʿah-based index and the general index. Volatility spillover and mixed levels of persistence are also identified. It is also noticed that the information superiority cannot be attributed to any of these indices. The study concludes that there is not much difference between a Sharīʿah-based index and a general index in terms of performance. يستدعي الطلب المتزايد على المنتجات المالية المتوافقة مع الشريعة نمذجة العلاقة بين عائد ومخاطر هذه المنتجات، لمساعدة المستثمرين والممارسين وصانعي القرار على فهم هذه المنتجات بشكل أفضل. تحاول هذه الدراسة التحقق من مدى تفوق المؤشرات المتوافقة مع الشريعة على المؤشرات التقليدية للأسهم المتداولة في البورصة الماليزية، في حدة التقلب والاستجابة للمعلومات. واستندت الدراسة لتحقيق أهدافها إلى نموذج متجه تصحيح الأخطاء VEC مع نموذج الانحدار الذاتي الأسي المعمم المشروط بوجود عدم تجانس في تباينات الأخطاء EGARCH. وتشير نتائج الدراسة إلى وجود علاقة متوازنة ومتزامنة على المدى الطويل، بالإضافة الى علاقة سببية ثنائية الاتجاه بين مؤشر الشريعة والمؤشر التقليدي. بالإضافة إلى ذلك توصلت الدراسة إلى تشابه في المؤشرين في حدة التقلب ولكن مع تفاوت بينهما في درجة استمرارها. كذلك، أثبتت الدراسة أن المؤشران الإسلامي والتقليدي لا يتمايزان في أفضلية الاستجابة للمعلومات، ولا حتى في الأداء.

Suggested Citation

  • Mohammad Imdadul Haque & Afsal Ellath Meethal, 2020. "Volatility and Information Behavior: A Study on Shariah Index and General Index حدة التقلب والاستجابة للمعلومات: دراسة مقارنة بين المؤشر الإسلامي والمؤشر التقليدي," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 33(1), pages 21-33, January.
    • Handle: RePEc:abd:kauiea:v:33:y:2020:i:1:no:2:p:21-33
    DOI: 10.4197/Islec.33-1.2
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    References listed on IDEAS

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