Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index
نویسندگان
چکیده
منابع مشابه
Price reaction of ethically screened stocks : A study of the Dow Jones Islamic Market World Index
This paper investigates the short-term effects on the price of the ethically screened stocks of the Dow Jones Islamic Market World Index (DJIMWI) quarterly revisions. Using a sample of 8,250 stocks from May 1999 through June 2012, we find a significant price reaction of the ethically screened stocks following additions and deletions. The results show that additions (deletions) from emerging sto...
متن کاملModeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model
Appropriate modeling of the process of volatility has implications for portfolio selection, the pricing of derivative securities and risk management. Further, a large body of research has suggested that both long memory and structural changes simultaneously characterize the structure of nancial returns volatility. Given this, in this paper, we aim to model conditional volatility of the returns ...
متن کاملForecasting the Volatility of the Dow Jones Islamic Stock Market Index : Long Memory vs . Regime Switching ∗
The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of Islamic Sharia rules. In this light, we investigate the statistical properties of the Dow Jones Islamic S...
متن کاملa study on insurer solvency by panel data model: the case of iranian insurance market
the aim of this thesis is an approach for assessing insurer’s solvency for iranian insurance companies. we use of economic data with both time series and cross-sectional variation, thus by using the panel data model will survey the insurer solvency.
Reaction of Stock Market Index to Oil Price Shocks
T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Business Ethics
سال: 2016
ISSN: 0167-4544,1573-0697
DOI: 10.1007/s10551-016-3389-y