The troika of business cycle, efficiency and volatility. An East Asian perspective

Arshad, Shaista; Rizvi, Syed Aun R.

doi:10.1016/j.physa.2014.10.014

Cited by 24 publications

(12 citation statements)

References 72 publications

(70 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…We see a larger gap for economies such as China, India and Philippines, who experienced fast‐paced growth with relative liberalisation. These findings are in line with those found by Arshad and Rizvi ().…”

Section: Empirical Analysissupporting

confidence: 94%

See 1 more Smart Citation

Analysing the Relationship between Oil Prices and Islamic Stock Markets

Arshad

2017

J of App Econs and Policy

Self Cite

View full text Add to dashboard Cite

This study is novel in measuring the volatility and efficiency of Islamic stock markets of top oil‐importing countries. Daily prices of six Islamic stock markets are analysed for volatility using EGARCH and efficiency using Multifractal Detrended Fluctuation Analysis, over three different economic regimes. The results indicate a concurrent movement of oil price volatility and Islamic stock market volatility, as Islamic stock markets are heavily reliant on the real economy, which faces the effects of oil price changes. Emerging markets faced higher volatility and lower efficiency than developed counterparts, owing to fast‐paced economic and infrastructural growth, affecting the real sector of the economy.

show abstract

Section: Empirical Analysissupporting

confidence: 94%

“…Following the work of Arshad and Rizvi () and Ramsey (), non‐decimated orthogonal MODWT with symmlet 8 as a wavelet function is selected to obtain a multiscale decomposition of the return series. Symmlet 8 is chosen as it allows for the least asymmetric property, which is more appropriate for financial series.…”

Section: Methodsmentioning

confidence: 99%

Analysing the Relationship between Oil Prices and Islamic Stock Markets

Arshad

2017

J of App Econs and Policy

Self Cite

View full text Add to dashboard Cite

show abstract

“…In order to address the issue of exploring efficiency on sectoral basis, we use mf‐dfa analysis. Following the works of Arshad and Rizvi (2015), Jiang and Zhou (2010) and the multifractal analysis is conducted using a q = 4. Jiang and Zhou (2010), Arshad et al (2014) have delved deeper in determination of the apparent q based on the divergence of the integrand for large m a .…”

Section: Resultsmentioning

confidence: 99%

“…The MFDFA is proficient in measuring the efficiency as it allows us to sequentially rank the individual efficiency of market. MF‐DFA has recently become popular in the financial literature with Rizvi, Dewandaru, Bacha, and Masih (2014), Dutta, Ghosh, and Samanta (2014), Horta, Lagao, and Martins (2014), Batten, Kinateder, and Wagner (2014), Arshad and Rizvi (2015), Dewandaru, Masih, Bacha, and Masih (2015), Arshad, Rizvi, Ghani, and Duasa (2016), all focusing on the fractal nature of financial markets to investigate their behaviour under new light. Furthermore, it can determine the extent of the inefficiency.…”

Section: Methodsmentioning

confidence: 99%

Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency

2016

Self Cite

View full text Add to dashboard Cite

JEL classification: C22 E44 G1Literature is rife with studies on efficiency of stock markets and financial performance aspects. One such aspect is the measurement of sectoral efficiency amongst stock markets. While there are several studies analysing sectorial efficiency, there is no study on the efficiency of Islamic sector indexes. The rise of Islamic indices has raised the question and multiple studies have been undertaken in exploring and validating the better performance from a risk return framework for the Islamic indices. This study attempts to pioneer in this niche area by conducting a comparative analysis of 10 sectoral global indices for both conventional and Islamic counterpart spanning over 18 years. The sample time period runs from and 2006 to 2014. The methodology selected in understanding the efficiency of these sectoral stock indices is the multifractal de-trended fluctuation analysis (MFDFA). Our analysis reveals that in the shorter horizon, efficiency tends to follow a similar pattern amongst the conventional and Islamic counterpart. Furthermore, Islamic sectoral indices generally tend to exhibit a higher efficiency regime across the last decade. Overall, Islamic index seems to have stayed attractive and resilient, allowing conformity with the weak form efficient market hypothesis.

show abstract

“…Using the JT's framework to explain the earnings momentum profit in Taiwan, a study by Lin, Ko, Feng, and Yang (2016) offered evidences of strong influence of underreaction hypothesis and no significant influence of overreaction hypothesis. This particular evidence may carry significant implication for Asian markets as several studies have reported that Asian markets are particularly more efficient during economic boom when compared to busts (Arshad & Rizvi, 2015; Arshad, Rizvi, Gairuzazmi, & Duasa, 2016). Momentum has recently been investigated by Dewandaru, Masih, Bacha, and Masih (in press‐a) and Dewandaru, Masih, Bacha, and Masih (in press‐b).…”

Section: Introductionmentioning

confidence: 94%

Is momentum trading profitable from Shari'ah compliant stocks?

Rashid

2016

Rev Financ Econ

View full text Add to dashboard Cite

a b s t r a c t JEL classification: G10 G11 G12This research offers fresh evidence supporting the pervasiveness of the momentum effect. Two decades after the momentum profitability firstly documented by Jegadeesh and Titman (1993), yet little research has been specifically devised for the momentum profitability on Shari'ah compliant stocks. We assess the momentum profitability over the Shari'ah compliant stocks in a Malaysian setting. We find evidence of strong return persistence as far as toward four-year holding period. Interestingly, no significant momentum returns are found among the conventional stocks. Upon further exploration we find neither an industry-driven momentum effect nor the small size firms can account for the momentum returns. Using return persistency formation criteria, we further find that underreaction seems to well fit in explaining this unique long lasting momentum profitability.

show abstract

The troika of business cycle, efficiency and volatility. An East Asian perspective

Cited by 24 publications

References 72 publications

Analysing the Relationship between Oil Prices and Islamic Stock Markets

Analysing the Relationship between Oil Prices and Islamic Stock Markets

Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency

Is momentum trading profitable from Shari'ah compliant stocks?

Contact Info

Product

Resources

About