This article contributed insight into the cross-border role of oil on Asia’s largest stock markets. The research conducted using VAR, GARCH_BEKK (1,1), and related tests such as stationarity, correlation, and causality tests in the analysis. The results obtained suggest
Financial theory suggests that volatility affects average stock returns positively. It is claimed that markets reward economic agents for the risk they assume with higher returns. This study uses an ARMA (1, 2)-GARCH (1, 1)-M technique to examine the impact of volatility
Robust Statistical Analysis of Long-Term Performance For Sharia-Compliant Companies in Malaysia Stock Exchange
In the year of 2016, Malaysia faced with the challenge in instability of economic condition. This situation weakens Malaysian currency that gives direct impact to all economic sectors in Malaysia.
Monotonic Correlation Diagnostics of Share Price Volatility for Shariah-Compliant Islamic Bank: A New Insight of Islamic Financial Engineering
The objective of this paper is to analyze the relationship between volatility rates and return rates for a share price of Bank Islam Malaysia Berhad (BIMB) from the year 2010 until 2016.