Forecasting performance of smooth transition autoregressive (STAR) model on travel and leisure stock index

Umer, Usman M.; Sevil, Tuba; Sevil, Güven

doi:10.1016/j.jfds.2017.11.006

Cited by 17 publications

(7 citation statements)

References 20 publications

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“…Another group of studies ( Dhai, 2015 , Becchetti et al, 2015 , Sherif, 2016 , Durand et al, 2016 , Umer et al, 2019 , Bauckloh et al, 2019 , Landi and Sciarelli, 2019 , Shaikh et al, 2019 , Vasisht, 2017 , Anwaar, 2016 , Wu et al, 2017 ) has investigated the performance of the FTSE and other Islamic indices, and provide an overall picture of somewhat mixed findings. For example, Tahir and Ibrahim (2020) find that Shariah-compliant companies (SCCs) outperformed non-Shariah compliant companies in terms of both accounting and market returns.…”

Section: Literature Reviewmentioning

confidence: 99%

The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis

Sherif

2020

Journal of Behavioral and Experimental Finance

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This paper examines the rapid spread of Coronavirus (COVID-19) and its short-term impact on the Shariah-compliant UK Dow Jones market index to capture the dynamic behavior of stock returns at economy and industry levels. Using daily data over the period January 20 to May 20 and ten UK industrial sector groupings, the findings suggest a strong and statistically significant relationship between the COVID-19 pandemic and the performance of the conventional stock market index. The findings also suggest that the disease interacts negatively but insignificantly with the Dow Jones faith-based ethical (Islamic) index compared to its UK counterpart. In addition, through an analysis of sector groupings, the paper shows that the stock returns of the information technology sector performed significantly better than the market, while stock returns of consumer discretionary sector, which includes transportation, beverages, tourism and leisure, consumer services performed significantly worse than the market during the COVID-19 outbreak. Other sector groupings fail to yield significantly plausible parameter values.

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Section: Literature Reviewmentioning

confidence: 99%

The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis

Sherif

2020

Journal of Behavioral and Experimental Finance

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“…For empirical applications on these models we direct you to(Caggiano et al, 2017;Chkili, 2017;Elliott et al, 2016;Ghoshray, 2010;Moore & Wang, 2007;Nademi & Nademi, 2018;Umer et al, 2018) 3 For studies using the HAR model across different asset classes we direct you toSantos and Ziegelmann (2014) for Spanish equity index data, Y Wang et al (2017). for US equity index data,Buncic and Gisler (2016) for global equity index data;Čech and Baruník (2017) andAudrino et al (2020) for empirical applications using individual firm data;Mazzeu et al (2019) andLi et al (2020) for commodities.…”

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confidence: 99%

“… 1 For empirical applications on these models we direct you to ( Caggiano, Castelnuovo, & Figueres, 2017 ; Chkili, 2017 ; Elliott et al, 2016 ; Ghoshray, 2010 ; Moore & Wang, 2007 ; Nademi & Nademi, 2018 ; Umer, Sevil, & Sevil, 2018 ) …”

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confidence: 99%

The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model

Izzeldin

Muradoğlu

Pappas

et al. 2021

International Review of Financial Analysis

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“…In the same activity sector, by allowing structural breaks in the data, Saayman and Botha (2017) show the superior performance of the nonlinear model relative to the SARIMA model. Umer et al (2018), by employing the travel monthly and leisure index in Turkey from April 1997 to August 2016, show that the nonlinear Logistic STAR model does not improve the forecasting accuracy compared to the linear AR model.…”

Section: Literature Review Of the Star Model Compared With Other Line...mentioning

confidence: 94%

Smooth Threshold Autoregressive models and Markov process: An application to the Lebanese GDP growth rate

Verne

2021

International Econometric Review

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This paper analyzes the evolution of the Lebanese GDP growth rate over the period 1970-2019 by estimating two kinds of switching models: The Smooth Transition Autoregressive (STAR) model and the model of the Markov process. These models show, on the one hand, asymmetries in the evolution of GDP growth with an abrupt transition from a regime to another and, on the other hand, a high probability that the economy remains in the recession regime. Even though the duration of the expansion phase is longer than the duration of the recession phase, the Lebanese economy experiencing the greatest difficulties in moving from a recession regime to an expansion regime. In addition, such an evolution is explosive and volatile during the lower regime (recession phase) but stationary and damped in the upper regime (expansion phase). Finally, the paper shows that the STAR model, taking a logistic form, better fits the Lebanese GDP growth than the Markov model.

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Forecasting performance of smooth transition autoregressive (STAR) model on travel and leisure stock index

Cited by 17 publications

References 20 publications

The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis

The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis

The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model

Smooth Threshold Autoregressive models and Markov process: An application to the Lebanese GDP growth rate

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