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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. The maximum volatility rate is 3.96 in July 2011, while the minimum volatility rate is 0.46 in April 2014. Next,...

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Main Authors: Abu Bakar, Nashirah, Rosbi, Sofian
Format: Article
Language:English
Published: Inovatus Services Ltd. 2017
Subjects:
HG Finance
Online Access:http://repo.uum.edu.my/26305/1/IJMSBA%203%202%202017%207%2016.pdf
http://repo.uum.edu.my/26305/
http://doi.org/10.18775/ijmsba.1849-5664-5419.2014.32.1001
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spelling my.uum.repo.263052019-08-28T00:57:14Z http://repo.uum.edu.my/26305/ Monotonic correlation diagnostics of share price volatility for shariah-compliant Islamic bank: a new insight of Islamic financial engineering Abu Bakar, Nashirah Rosbi, Sofian HG Finance 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. The maximum volatility rate is 3.96 in July 2011, while the minimum volatility rate is 0.46 in April 2014. Next, the nonparametric analysis calculated the monotonic relationship between volatility rates and return rate for a share price of BIMB. From the analysis, the significant value is 0.000. Hence, the result rejects the null hypothesis for a Spearman correlation analysis. The numerical result shows there is a monotonic association between volatility rate and return rate for a share price of BIMB. The Spearman correlation coefficient, rs in this analysis is 0.403 indicated that there is a moderate positive correlation between volatility rate and return rate for BIMB share price. Inovatus Services Ltd. 2017 Article PeerReviewed application/pdf en http://repo.uum.edu.my/26305/1/IJMSBA%203%202%202017%207%2016.pdf Abu Bakar, Nashirah and Rosbi, Sofian (2017) Monotonic correlation diagnostics of share price volatility for shariah-compliant Islamic bank: a new insight of Islamic financial engineering. International Journal of Management Science and Business Administration, 3 (2). pp. 7-16. ISSN 18495419 http://doi.org/10.18775/ijmsba.1849-5664-5419.2014.32.1001 doi:10.18775/ijmsba.1849-5664-5419.2014.32.1001
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, Nashirah
Rosbi, Sofian
Monotonic correlation diagnostics of share price volatility for shariah-compliant Islamic bank: a new insight of Islamic financial engineering
description 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. The maximum volatility rate is 3.96 in July 2011, while the minimum volatility rate is 0.46 in April 2014. Next, the nonparametric analysis calculated the monotonic relationship between volatility rates and return rate for a share price of BIMB. From the analysis, the significant value is 0.000. Hence, the result rejects the null hypothesis for a Spearman correlation analysis. The numerical result shows there is a monotonic association between volatility rate and return rate for a share price of BIMB. The Spearman correlation coefficient, rs in this analysis is 0.403 indicated that there is a moderate positive correlation between volatility rate and return rate for BIMB share price.
format Article
author Abu Bakar, Nashirah
Rosbi, Sofian
author_facet Abu Bakar, Nashirah
Rosbi, Sofian
author_sort Abu Bakar, Nashirah
title Monotonic correlation diagnostics of share price volatility for shariah-compliant Islamic bank: a new insight of Islamic financial engineering
title_short Monotonic correlation diagnostics of share price volatility for shariah-compliant Islamic bank: a new insight of Islamic financial engineering
title_full Monotonic correlation diagnostics of share price volatility for shariah-compliant Islamic bank: a new insight of Islamic financial engineering
title_fullStr Monotonic correlation diagnostics of share price volatility for shariah-compliant Islamic bank: a new insight of Islamic financial engineering
title_full_unstemmed Monotonic correlation diagnostics of share price volatility for shariah-compliant Islamic bank: a new insight of Islamic financial engineering
title_sort monotonic correlation diagnostics of share price volatility for shariah-compliant islamic bank: a new insight of islamic financial engineering
publisher Inovatus Services Ltd.
publishDate 2017
url http://repo.uum.edu.my/26305/1/IJMSBA%203%202%202017%207%2016.pdf
http://repo.uum.edu.my/26305/
http://doi.org/10.18775/ijmsba.1849-5664-5419.2014.32.1001
_version_ 1644284565118779392
score 13.211869

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