The Impact Of Financial Crisis On Islamic And Conventional Indices Of The GCC Countries

Miniaoui, Héla; Sayani, Hameedah; Chaibi, Anissa

doi:10.19030/jabr.v31i2.9171

Cited by 39 publications

(33 citation statements)

References 25 publications

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“…Financial crisis has impacted investors in making their strategies and designing their portfolio in a way that can help them conquer any adverse movements in the financial markets. Similar strategies were in place earlier where diversification took place within the stocks categories and securities (Miniaoui, Sayani, & Chaibi, 2015). However stock portfolio and indexes were found to move in similar direction due to correlations that were not identified previously.…”

Section: Introductionsupporting

confidence: 67%

Modeling Volatility for Conventional and Islamic Stock Market Indices

Ahmed

Awais²,

Pervaiz

2016

JISR-MSSE

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This study aims to investigate the volatility between Conventional and Islamic stock market by deploying Autoregressive Conditional Heteroskedastic (ARCH) model and Generalized ARCH (GARCH) models along with their variants, Power ARCH (PARCH), Threshold ARCH (TARCH) and Exponential GARCH (EGARCH) on comparable stock market index. Karachi Stock Exchange 30 index (KSE-30) was cross examined with the volatility of KSE Meezan Index (KMI-30) and Dow Jones Islamic Market Index (DJIMI) with Dow Jones Industrial Average (DJIA) to determine the existence of correlation and impact in the volatility of indices. Time effect is being analyzed in the study where the response time to external factors of growing Islamic Market Index is compared to that of a mature Conventional Market Index by applying lags and testifying the ARCH effect on the stationary data, arrived throughAugmented Dickey Fuller test, including daily closing prices from 2012 to 2016. The results assess the most appropriate model for each index to be applied for the purpose of forecasting on the basis of volatility. It also established the relationship between comparable index volatility with identifying common denoting factor either the type of the index, that is, Islamic and Conventional or the Geographical Boundaries of the index.

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Section: Introductionsupporting

confidence: 67%

Modeling Volatility for Conventional and Islamic Stock Market Indices

Ahmed

Awais²,

Pervaiz

2016

JISR-MSSE

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“…The bivariate regression in columns 2, 4 and 6 suggests that financial crises increase stock risk for all, Islamic and conventional stocks. The findings are consistent with those of Ho et al (2014) but contrary to Miniaoui at al. (2015).…”

Section: Risk and Financial Crisessupporting

confidence: 58%

“…Nevertheless, risk on Islamic equity investments is lesser than those of their conventional counterparts in the international markets. Nonetheless, Miniaoui, Syani and Chaibi (2015) show inconsistent findings that the Islamic indices of the Gulf Cooperation Council (GCC) countries do not exhibit lower volatility compared to conventional indices during the financial crisis, indicating that GCC Islamic indices have comparable risk profile as conventional counterparts.…”

Section: Literature Reviewmentioning

confidence: 99%

Risk, Business Cycles and Financial Crises: Evidence from Islamic and Conventional Stocks

Tee¹,

Kew²

2019

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This study examines whether business cycles and financial crises affect the risk of Islamic stocks compared to conventional stocks in Malaysia for the period 1997 to 2016. The findings conclude that business cycles play a crucial role in affecting stock risk. Specifically, stock risk tends to be higher during the economic contraction than during economic expansion for Islamic, conventional and all stocks. We further test whether Asian and Global financial crises exacerbate stock risk. The results document that the level of stock risk increases during financial crises. Moreover, we find that the impact of economic contraction and financial crises on increasing stock risk remain significant after controlling for various variables known to have effect on risks. In addition, we discover that the risk of Islamic stock is lower compared to those of conventional and all stocks during the economic contraction and financial crises. This recommends the diversification advantage and investment opportunity of the Islamic stocks during the periods of financial turbulence. The findings offer important insights to investors who are considering Islamic or conventional stocks as potential investment and to policymakers in evaluating stock risk in different economic states.2 Kata kunci: Saham Islam dan konvensional; risiko saham; kitaran perniagaan; pengembangan dan pengecutan ekonomi; krisis kewangan

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“…Dalam hal analisis kointegrasi, indeks Islam Dow Jones dan S&P tidak memiliki hubungan kointegrasi (Khamlichi et al, 2014). Sedangkan penelitian Miniaoui et al (2015) menunjukkan krisis keuangan berdampak pada tingkat pengembalian rata-rata Bahrain, indeks lainnya tetap tidak terpengaruh. Namun, krisis keuangan berdampak pada volatilitas di tiga pasar GCC (Kuwait, Bahrain, dan UEA), sementara dampaknya terhadap pasar yang tersisa (Arab Saudi, Oman, Qatar) indeks Islam tidak signifikan.…”

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Determinasi Faktor Fundamental Makroekonomi dan Indeks Harga Saham Syariah Internasional terhadap Indeks Harga Saham Syariah Indonesia

Ardana¹,

Maya

2019

CJSI

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The capital market is a source of fresh funds in the long and short-term. The existing of the institution is not only a source of funding but also as an investment facility. This study aims to measure the impact of macroeconomic conditions (BI Rate, Exchange Rate and World Oil Prices) and the international Sharia stock index (Dow Jones Islamic Market Index Japan and Dow Jones Islamic Market Index US) on the Indonesian Sharia Stock Index with using the error correction model (ECM). The results showed that BI rate and DJIM US have the significant effect (5%) on Indonesian Sharia Stock Index in the short, while the exchange rate and DJIM Japan are significant at the 10%, and the world oil price is not significant. In the long-term, BI Rate, exchange rate, DJIM US and DJIM Japan have a significant effect, while the world oil price has not a significant effect.

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The Impact Of Financial Crisis On Islamic And Conventional Indices Of The GCC Countries

Abstract: We study performance of Islamic and conventional indices of the Gulf Cooperation

Cited by 39 publications

References 25 publications

Modeling Volatility for Conventional and Islamic Stock Market Indices

Modeling Volatility for Conventional and Islamic Stock Market Indices

Risk, Business Cycles and Financial Crises: Evidence from Islamic and Conventional Stocks

Determinasi Faktor Fundamental Makroekonomi dan Indeks Harga Saham Syariah Internasional terhadap Indeks Harga Saham Syariah Indonesia

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