کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7341806 | 1476182 | 2017 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multivariate market risk evaluation between Malaysian Islamic stock index and sectoral indices
ترجمه فارسی عنوان
ارزیابی ریسک چند متغیره بین سهام اسلامی مالزی و شاخص های بخش
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Without an efficient financial risk management, it may cause massive consequences to a financial institution as well as individual. Therefore, developing a methodology which gives precise estimates to reduce the exposure of risk to a minimum is of great importance. This paper uses an 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 normal market. The findings suggest that the FBMS plays a leading role in the mean return spillover effect. There is a strong evidence of significant transmission of past shocks, volatilities and leverage effects are observed on the current conditional variance-covariance in all the pair-wise models. These empirical results are helpful in quantifying the cross-market risk evaluation, risk minimizing weight and cross-market hedge ratio for strategizing appropriate portfolio selection.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Borsa Istanbul Review - Volume 17, Issue 1, March 2017, Pages 49-61
Journal: Borsa Istanbul Review - Volume 17, Issue 1, March 2017, Pages 49-61
نویسندگان
Sew Lai Ng, Wen Cheong Chin, Lee Lee Chong,