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. Attached Files Name Description MIMEType Size Downloads Title Low-frequency volatility and macroeconomic dynamics: conventional versus Islamic stock markets Author(s) Kim, Hong-Bae 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 Related Links Link Description Connect to published version Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Mon, 01 Jun 2020, 13:23:28 EST Tue, 02 Jun 2020, 05:02:32 EST Wed, 07 Oct 2020, 09:47:44 EST Thu, 08 Oct 2020, 05:02:31 EST Fri, 09 Oct 2020, 09:03:38 EST Fri, 09 Oct 2020, 09:05:47 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 1 times in Scopus Search Google Scholar Access Statistics: 61 Abstract Views, 2 File Downloads  -  Detailed Statistics Created: Wed, 07 Oct 2020, 09:47:44 EST

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