Stock return comovement around the Dow Jones Islamic Market World Index revisions
نویسندگان
چکیده
منابع مشابه
Forecasting 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...
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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...
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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 ...
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ژورنال
عنوان ژورنال: Journal of Economic Behavior & Organization
سال: 2016
ISSN: 0167-2681
DOI: 10.1016/j.jebo.2016.05.011