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Return and volatility interaction between Islamic indice and bitcoin: a comparison of Türkiye and Malaysia

With technology development, investment tools also vary. Money and capital market instruments are at the forefront of these, and virtual currencies have become investment tools. Because virtual currencies are not religiously permissible by many organizations causes the devout people to stay away fr...

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Main Authors: Abdul Razak, Dzuljastri, Mustafa, Omar, Turkan, Yavuz, Kilic, Ethem
Format: Article
Language:English
Published: Kulliyah of Economics of Management Science 2024
Subjects:
H61 Theory. Method
Online Access:http://irep.iium.edu.my/112855/2/112855_Return%20and%20volatility%20interaction%20between%20Islamic%20indice.pdf
http://irep.iium.edu.my/112855/
https://journals.iium.edu.my/enmjournal/index.php/enmj/article/view/1168/466
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spelling my.iium.irep.1128552024-07-02T03:28:53Z http://irep.iium.edu.my/112855/ Return and volatility interaction between Islamic indice and bitcoin: a comparison of Türkiye and Malaysia Abdul Razak, Dzuljastri Mustafa, Omar Turkan, Yavuz Kilic, Ethem H61 Theory. Method With technology development, investment tools also vary. Money and capital market instruments are at the forefront of these, and virtual currencies have become investment tools. Because virtual currencies are not religiously permissible by many organizations causes the devout people to stay away from them. This study investigates the return and volatility interaction between Islāmic Indices and Bitcoin in Türkiye and Malaysia.. The study uses weekly data for the period 24 November 2013 – 2 January 2022 obtained from investing.com. Multivariate Dynamic Conditional Correlation (DCC-GARCH) and multivariate dynamic stochastic volatility models were used to determine the volatility dispersion between Islāmic indices and Bitcoin. Results show that the volatilities of Türkiye Islāmic Index, Malaysia Hijrah Sharīʿah Index and Bitcoin are permanent. Volatility of Bitcoin, however, has no effect on the return of the Türkiye Islāmic Index and the Malaysian Hijrah Sharīʿah Index. Likewise, the volatility of Islāmic indices does not affect the return of Bitcoin. According to the results of the DC-MSV model, the volatility of Islāmic indices and 150 International Journal of Economics, Management and Accounting 32, no. 1 (2024) the volatility of Bitcoin do not affect each other. This indicates that Islāmic index investors and Bitcoin investors differ. Kulliyah of Economics of Management Science 2024-06-28 Article PeerReviewed application/pdf en http://irep.iium.edu.my/112855/2/112855_Return%20and%20volatility%20interaction%20between%20Islamic%20indice.pdf Abdul Razak, Dzuljastri and Mustafa, Omar and Turkan, Yavuz and Kilic, Ethem (2024) Return and volatility interaction between Islamic indice and bitcoin: a comparison of Türkiye and Malaysia. International Journal of Economics, Management and Accounting, 32 (1). pp. 149-168. E-ISSN 2462-1420 https://journals.iium.edu.my/enmjournal/index.php/enmj/article/view/1168/466
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic H61 Theory. Method
spellingShingle H61 Theory. Method
Abdul Razak, Dzuljastri
Mustafa, Omar
Turkan, Yavuz
Kilic, Ethem
Return and volatility interaction between Islamic indice and bitcoin: a comparison of Türkiye and Malaysia
description With technology development, investment tools also vary. Money and capital market instruments are at the forefront of these, and virtual currencies have become investment tools. Because virtual currencies are not religiously permissible by many organizations causes the devout people to stay away from them. This study investigates the return and volatility interaction between Islāmic Indices and Bitcoin in Türkiye and Malaysia.. The study uses weekly data for the period 24 November 2013 – 2 January 2022 obtained from investing.com. Multivariate Dynamic Conditional Correlation (DCC-GARCH) and multivariate dynamic stochastic volatility models were used to determine the volatility dispersion between Islāmic indices and Bitcoin. Results show that the volatilities of Türkiye Islāmic Index, Malaysia Hijrah Sharīʿah Index and Bitcoin are permanent. Volatility of Bitcoin, however, has no effect on the return of the Türkiye Islāmic Index and the Malaysian Hijrah Sharīʿah Index. Likewise, the volatility of Islāmic indices does not affect the return of Bitcoin. According to the results of the DC-MSV model, the volatility of Islāmic indices and 150 International Journal of Economics, Management and Accounting 32, no. 1 (2024) the volatility of Bitcoin do not affect each other. This indicates that Islāmic index investors and Bitcoin investors differ.
format Article
author Abdul Razak, Dzuljastri
Mustafa, Omar
Turkan, Yavuz
Kilic, Ethem
author_facet Abdul Razak, Dzuljastri
Mustafa, Omar
Turkan, Yavuz
Kilic, Ethem
author_sort Abdul Razak, Dzuljastri
title Return and volatility interaction between Islamic indice and bitcoin: a comparison of Türkiye and Malaysia
title_short Return and volatility interaction between Islamic indice and bitcoin: a comparison of Türkiye and Malaysia
title_full Return and volatility interaction between Islamic indice and bitcoin: a comparison of Türkiye and Malaysia
title_fullStr Return and volatility interaction between Islamic indice and bitcoin: a comparison of Türkiye and Malaysia
title_full_unstemmed Return and volatility interaction between Islamic indice and bitcoin: a comparison of Türkiye and Malaysia
title_sort return and volatility interaction between islamic indice and bitcoin: a comparison of türkiye and malaysia
publisher Kulliyah of Economics of Management Science
publishDate 2024
url http://irep.iium.edu.my/112855/2/112855_Return%20and%20volatility%20interaction%20between%20Islamic%20indice.pdf
http://irep.iium.edu.my/112855/
https://journals.iium.edu.my/enmjournal/index.php/enmj/article/view/1168/466
_version_ 1804063186117197824
score 13.211869

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