Low-frequency volatility and macroeconomic dynamics: conventional versus Islamic stock markets

Kim, Hong-Bae and Azad, ASM Sohel 2020, Low-frequency volatility and macroeconomic dynamics: conventional versus Islamic stock markets, Singapore economic review, pp. 1-28, doi: 10.1142/S0217590819420049.

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Title Low-frequency volatility and macroeconomic dynamics: conventional versus Islamic stock markets
Author(s) Kim, Hong-Bae
Azad, ASM SohelORCID iD for Azad, ASM Sohel orcid.org/0000-0002-8853-7157
Journal name Singapore economic review
Start page 1
End page 28
Total pages 28
Publisher World Scientific Publishing Company
Place of publication Singapore
Publication date 2020-03-17
ISSN 0217-5908
1793-6837
Keyword(s) low-frequency volatility
macroeconomic risk
conventional stock markets
Islamic stock markets
Summary This study investigates the relationship between macroeconomic risk and low-frequency volatility of conventional and Islamic stock markets from around the world. Using a panel of 36 countries, representing developed, emerging and Islamic countries for the period from 2000 to 2016, the study finds that low-frequency market volatility is lower for Islamic countries and, markets with more number of listed companies, higher market capitalization relative to GDP and larger variability in industrial production. The study also finds that low-frequency component of volatility is greater when the macroeconomic factors of GDP, unemployment, short-term interest rates, inflation, money supply and foreign exchange rates are more volatile. The empirical results are robust to various alternative specifications and split sample analyses. The findings imply that religiosity has an influence on the correction of market volatility and investors may consider the Islamic stocks to diversify their risks.
Language eng
DOI 10.1142/S0217590819420049
Indigenous content off
Field of Research 14 Economics
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30137815

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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