Multivariate market risk evaluation between Malaysian Islamic stock index and sectoral indices

Ng, Sew Lai; Cheong, Chin Wen; Chong, Lee Lee

doi:10.1016/j.bir.2016.09.002

Cited by 17 publications

(6 citation statements)

References 32 publications

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“…A study in the South African continent conducted by Katzke (2013) explored that the co-movement between the pairs of two sectors has a significant impact on each other, with adverse shocks being followed in all cases by higher aggregate levels of co-movement. The latest study in the context of the Malaysian Islamic stock index conducted by Ng et al (2017) pointed out the same results by applying the asymmetric BEKK-GARCH model to examine the return and volatility linkages between the FTSE Bursa Malaysia Emas Shariah (FBMS) index and the sectoral indices under a regular market. In another paper, Ng 2000employed a two-factor model.…”

Section: Global Contextmentioning

confidence: 72%

Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices

Bhatia

Gupta²

2020

FIIB Business Review

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Stock market volatility may be a function of company, industry, or world over information made public. The present study has investigated the volatility of Indian banking sectoral indices with the general banking index for two shocking events: the Sub-prime crisis and COVID-19. A comparative analysis of both the shocks leading to these indices’ volatility has been conducted using symmetric and asymmetric models. This study’s findings show that these indices’ volatile behaviour has been strong enough to persist in the market with the leverage effect present during the sub-prime crisis. This effect disappeared for Nifty Bank Indices and Private Sector Bank Indices as compared to Public Sector Undertaking Bank Indices during COVID-19 (probably because the pandemic is not over yet). With GARCH and EGARCH models, the study suggests that the investors may use the diversification approach, in the long run, to safeguard their portfolio values to survive from global shocks.

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Section: Global Contextmentioning

confidence: 72%

Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices

Bhatia

Gupta²

2020

FIIB Business Review

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“…Namun, sebagian besar studi sebelumnya hanya terkonsentrasi di negara-negara tertentu (misalnya : Malaysia, Pakistan, lintas negara) dan studi gagal untuk mengenali berbagai pendekatan dalam manajemen resiko digunakan oleh bank syariah untuk resiko unik. Penelitian yang telah dilakukan dalam resiko manajemen bank syariah seperti (Dolgun et al, 2020;Fakhrunnas & Imron, 2019;Ghassan & Guendouz, 2019;Alkhouri & Arouri 2019;Kadhim et al, 2019;L'Huillier et al, 2018;Ng et al, 2017dan Rauf & Irzath, 2016 Secara sederhana, uraian profil resiko dapat digambarkan melalui iustrasi berikut ini.…”

Section: Pendahuluanunclassified

Teori Manajemen Resiko Bank Syariah

Agustin

Armis

Hasan

2022

(Islamic Banking and Finance)

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Tujuan penelitian ini adalah membuat kembali konsep teori manajemen resiko bank syariah yang sesuai dengan Al-Quran dan Hadis. Penelitian ini pelu dilakukan mengingat bahwa manajemen resiko memberikan gambaran kepada pengelola bank sebagai potensi kerugian dimasa mendatang, serta memberikan informasi untuk membuat keputusan yang tepat sehingga dapat membantu pengelolaan bank untuk meningkatkan daya saing. Jenis data yang digunakan adalah data kualitatif dan sumber data yang digunakan dalam penelitian ini adalah data sekunder. Teknik analisis data dalam penelitian ini adalah analisis deskriptif. Hasil penelitian menunjukkan bahwa konsep teori manajemen resiko bank syariah yang dilakukan oleh bank syariah berdasarkan syariah Islam dapat dilakukan dengan benar apabila mempunyai fondasi berupa akidah yang benar dan mentalitas pegawai bank seperti sifat Rasulullah Shallallahu’alaihi Wasallam yang terdiri dari Shidiq, Fathonah, Amanah dan Tabligh. Selanjutnya untuk mencapai pengendalian manajemen resiko bank syariah yang baik maka diperlukan motode yang terdiri dari pengendalian internal pemantauan resiko, pengukuran resiko dan kebijakan manajemen.

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“…Meanwhile, Ghassan and Guendouz (2019) argued that diversification of asset will improves Islamic banks' financial stability. Moreover, investors may reduce their vulnerable to risk by holding a diversified assets portfolio (Ng et al 2017).…”

Section: A Diversified Assets Portfoliomentioning

confidence: 99%

A Systematic Literature Review on the Effects of Risk Management Practices on the Performance of Islamic Banking Institutions

Noory¹,

Shahimi²,

Ismail³

2021

AJAG

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Risk management practices (RMPs) are important for Islamic banking institutions (IBIs) mainly because they represent the risk exposures that may affect their financial stability. The fact that RMPs is not a new activity in IBIs but still attract significant numbers of studies indicate the relevancy of the subject matter. For instance, weak risk management will hamper IBIs' performance and eventually the stakeholders and industry at large. There are still lack of evidence on the effects of RMPs specifically on the IBIs given the nature and unique characteristics of the risks faced by these institutions. This systematic review article focuses on the effects of the RMPs on the performance of IBIs. Systematic literature review (SLR) is used in this study as it produces quality evidence on RMPs with more significant results on the effects of the IBIs' performance. It defers greatly from the conventional literature review because the development of the systematic review is based on the main research question and utilized advanced search provided in the online journal databases. This study used eight ( 8) electronic journal databases and applied Preferred Reporting Items for Systematic review and Meta-Analysis (PRISMA). Based on the 39 primary studies related to RMPs and performance of IBIs, a total of 16 themes and 17 sub-themes were identified. The study finds that IBIs with good risk mitigation practices, risk management environment, policies and procedures, and risk monitoring have better financial performance. Hence, IBIs must ensure that RMPs a priority within the institutions to increase the financial performance and improve the overall competitiveness in the Islamic banking industry.

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Multivariate market risk evaluation between Malaysian Islamic stock index and sectoral indices

Cited by 17 publications

References 32 publications

Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices

Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices

Teori Manajemen Resiko Bank Syariah

A Systematic Literature Review on the Effects of Risk Management Practices on the Performance of Islamic Banking Institutions

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