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Kemeruapan pulangan pasaran indeks syariah Kuala Lumpur (KLSI): analisis model GARCH

Volatility of stock returns can be defined as a dispersion of stock return mean, which is known as variance. Information and knowledge about the behaviour of stock return volatility is pertinently important to economists and financial analysts in order to solve related economic problems. Poterba and...

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Main Authors: Abu Bakar, Abu Sufian, Abdullah, Hussin, Shakrani, Mohd Saharudin, Mohd Taib, Hasniza
Format: Article
Language:English
Published: Universiti Utara Malaysia 2004
Subjects:
HG Finance
Online Access:http://repo.uum.edu.my/112/1/Abu_Sufian_Abu_Bakar.pdf
http://repo.uum.edu.my/112/
http://ijms.uum.edu.my
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spelling my.uum.repo.1122010-07-04T03:21:17Z http://repo.uum.edu.my/112/ Kemeruapan pulangan pasaran indeks syariah Kuala Lumpur (KLSI): analisis model GARCH Abu Bakar, Abu Sufian Abdullah, Hussin Shakrani, Mohd Saharudin Mohd Taib, Hasniza HG Finance Volatility of stock returns can be defined as a dispersion of stock return mean, which is known as variance. Information and knowledge about the behaviour of stock return volatility is pertinently important to economists and financial analysts in order to solve related economic problems. Poterba and Summers(1986) relate the influence of continuous volatility in relation with changes in stock price volatility, while Bollerslev, Chou and Kroner, (1992) mentioned that there are three factors that influence the volatility behaviour which are continuous volatility, means-variance and asymmetric relationship. This research used the ARCH family model in analysing the volatility of "syariah" compliant stock return at BSKL because of its importance in analysing and predicting volatility. Empirical estimators used were syariah compliant stock prices for every counter, volume trading, Dow Jones Industrial Index, Syariah Index, Composite Index, lnterbank Interest Rate and Islamic Interbank Interest Rates. The research duration was from 2 January 1995 to 13 June 2003. The duration was then divided into two periods with the first period starting from 2 January 1995 to 29 April 1999, which was before the launch of syariah compliant stock. The second was after the launch of syariah compliant stock from 30 April 1999 to 13 June 2003. Universiti Utara Malaysia 2004 Article PeerReviewed application/pdf en http://repo.uum.edu.my/112/1/Abu_Sufian_Abu_Bakar.pdf Abu Bakar, Abu Sufian and Abdullah, Hussin and Shakrani, Mohd Saharudin and Mohd Taib, Hasniza (2004) Kemeruapan pulangan pasaran indeks syariah Kuala Lumpur (KLSI): analisis model GARCH. International Journal of Management Studies (IJMS), 11 (1). pp. 181-200. ISSN 0127-8983 http://ijms.uum.edu.my
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HG Finance
spellingShingle HG Finance
Abu Bakar, Abu Sufian
Abdullah, Hussin
Shakrani, Mohd Saharudin
Mohd Taib, Hasniza
Kemeruapan pulangan pasaran indeks syariah Kuala Lumpur (KLSI): analisis model GARCH
description Volatility of stock returns can be defined as a dispersion of stock return mean, which is known as variance. Information and knowledge about the behaviour of stock return volatility is pertinently important to economists and financial analysts in order to solve related economic problems. Poterba and Summers(1986) relate the influence of continuous volatility in relation with changes in stock price volatility, while Bollerslev, Chou and Kroner, (1992) mentioned that there are three factors that influence the volatility behaviour which are continuous volatility, means-variance and asymmetric relationship. This research used the ARCH family model in analysing the volatility of "syariah" compliant stock return at BSKL because of its importance in analysing and predicting volatility. Empirical estimators used were syariah compliant stock prices for every counter, volume trading, Dow Jones Industrial Index, Syariah Index, Composite Index, lnterbank Interest Rate and Islamic Interbank Interest Rates. The research duration was from 2 January 1995 to 13 June 2003. The duration was then divided into two periods with the first period starting from 2 January 1995 to 29 April 1999, which was before the launch of syariah compliant stock. The second was after the launch of syariah compliant stock from 30 April 1999 to 13 June 2003.
format Article
author Abu Bakar, Abu Sufian
Abdullah, Hussin
Shakrani, Mohd Saharudin
Mohd Taib, Hasniza
author_facet Abu Bakar, Abu Sufian
Abdullah, Hussin
Shakrani, Mohd Saharudin
Mohd Taib, Hasniza
author_sort Abu Bakar, Abu Sufian
title Kemeruapan pulangan pasaran indeks syariah Kuala Lumpur (KLSI): analisis model GARCH
title_short Kemeruapan pulangan pasaran indeks syariah Kuala Lumpur (KLSI): analisis model GARCH
title_full Kemeruapan pulangan pasaran indeks syariah Kuala Lumpur (KLSI): analisis model GARCH
title_fullStr Kemeruapan pulangan pasaran indeks syariah Kuala Lumpur (KLSI): analisis model GARCH
title_full_unstemmed Kemeruapan pulangan pasaran indeks syariah Kuala Lumpur (KLSI): analisis model GARCH
title_sort kemeruapan pulangan pasaran indeks syariah kuala lumpur (klsi): analisis model garch
publisher Universiti Utara Malaysia
publishDate 2004
url http://repo.uum.edu.my/112/1/Abu_Sufian_Abu_Bakar.pdf
http://repo.uum.edu.my/112/
http://ijms.uum.edu.my
_version_ 1644277695389892608
score 13.211869

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