Do Instabilities in National Macroeconomic Factors Contribute to Channeling Volatility Spillover from the Global to the Islamic Equity Market?

Do Instabilities in National Macroeconomic Factors Contribute to Channeling Volatility Spillover from the Global to the Islamic Equity Market?

This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted from the global to the Islamic equity market. The economic factors examined are the exchange rate, inflation rate, interest rate, and production growth. To achieve the purpose of the...

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Bibliographic Details
Main Authors: Harjum Muharam, Najmudin Najmudin, Wisnu Mawardi, Erman Denny Arfinto
Format: Article
Language:English
Published: Lodz University Press 2021-03-01
Series:Comparative Economic Research
Subjects:
volatility spillover
islamic equity
garch model
adcc
panel data
Online Access:https://czasopisma.uni.lodz.pl/CER/article/view/9523

Internet

https://czasopisma.uni.lodz.pl/CER/article/view/9523

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