30 research outputs found
Testing the conditional correlations and volatility spillovers between US and ASEAN Islamic stock markets: A Multivariate GARCH Analysis
No full textThis study examines the conditional correlations and volatility spillovers between the US and ASEAN Islamic stock markets. The empirical design uses MSCI (Morgan Stanley Capital International) Islamic indexes as it adopted stringent restriction to include companies in sharia list. By using a three multivariate GARCH models (BEKK, diagonal VECH, and CCC model), we find evidence of returns and volatility spillovers from the US to the ASEAN Islamic stock markets. However, as the estimated time-varying conditional correlations and volatilities indicate there is still a room for diversification benefits, particularly in the single markets. The Islamic MSCI of Thailand, Indonesia, and Singapore are less correlate to the US MSCI Islamic index. The implication is that foreign investors may benefit from the reduction of risk by adding the Islamic stocks in those countries
Determinants Of Chas waqf Contribution In Klang Valley And Selangor: A Sem Approach
No full textCash waqf is becoming one of the popular islamic finacial instruments which not only focus on the religiosity but also has significant impact to the ummah develoment. This waqf scheme does not require richnees in wealth,yet everybody in the society an contribute to cash waqf. The importance of cash waqf is gentting popular as it has benefited in many ways, for example it can be used to develop assets and abandoned land for businnes and argicultural purposes. In addition, chas waqf also can be utilized to help institutions who are facing financial problem or liquidity issues. Nonetheless, rarely we found in the literatrue that empirically examines the cash waqf determinats and contributions. This paper is one the few empirical studies that investigate the determinants towards the contribution of cash waqf in malaysia. Yhe pupose of this paper is to investigate the main factors that influence people towards the determinants of cash waqf instruments, special reference to the Klang valley and Selangor. This paper employs structual equation modeling (SEM) to verify the determinants of cashwaqf contribution, In doing so, we use primary data by distributing self-administrated questionnaire consituting a sample of 114 respondents from Klang Vally and Selangor. Our empirical results reveal that the main factors that driven people towards the contribution of cash waqf products are attitude and soscial influences, however interestingly religion obligation is not influence the contribution of cash waqf
Corporate Governance from an Islamic Moral Economy Perspective: The Dimensions and Analysis
No full textCorporate governance from Islamic perspective is derived from Islamic worldview, whereby the God is at the apex and human beings are below Him. However, there is no unified definition of corporate governance under shari?ah point of view. To bridge the applicability of Islamic corporate governance model with Islamic moral economy framework, some key questions to be addressed are as follows. (i) do Islamic corporate governance models consistent with the aspiration of Islamic moral economy? (ii) what are the important dimensions of Islamic corporate governance? (iii) what is the concept of Islamic corporate governance inspired by the ideals of Islamic moral economy? To accomplish the objectives, this paper follows critical review analysis as a methodology, through which it aims to highlight how each Islamic corporate governance model models are being constructed and to compare those models with Islamic moral economy perspective. The paper proposes the suitable model of Islamic corporate governance under the Islamic moral economy perspective
Corporate governance from an Islamic moral economy perspective: the dimensions and analysis
No full textCorporate governance from Islamic perspective is derived from Islamic worldview, whereby the God is at the apex and human beings are below Him. However, there is no unified definition of corporate governance under shari’ah point of view. To bridge the applicability of Islamic corporate governance model with Islamic moral economy framework, some key questions to be addressed are as follows. (i) do Islamic corporate governance models consistent with the aspiration of Islamic moral economy? (ii) what are the important dimensions of Islamic corporate governance? (iii) what is the concept of Islamic corporate governance inspired by the ideals of Islamic moral economy? To accomplish the objectives, this paper follows critical review analysis as a methodology, through which it aims to highlight how each Islamic corporate governance model models are being constructed and to compare those models with Islamic moral economy perspective. The paper proposes the suitable model of Islamic corporate governance under the Islamic moral economy perspective
Efficiency, stability and asset quality of Islamic vis-à-vis conventional banks: evidence from Indonesia
No full texturpose – This paper aims to examine how Indonesian Islamic banks differ from conventional banks in terms of their business model, asset quality, stability and efficiency.
Design/methodology/approach – Based on data from 2008 to 2012, the authors use t-test, z-score and data envelopment analysis (DEA) to assess the business model, as well as the asset quality, stability and efficiency of both the Islamic and conventional banks.
Findings – The results indicate that there are significant differences between the two – Islamic banks appear to not follow the conventional business model. Secondly, Islamic banks seem to have better asset quality and to be more stable than their conventional counterparts.
Originality/value – Finally, the DEA results also indicate that Islamic banks are relatively more efficient
than conventional banks, as shown by their higher overall efficiency, as well as technical efficiency
Relationship between Islamic Stock Prices and Macroeconomic Variables: Evidence from Jakarta Stock Exchange Islamic Index
No full textThis paper attempts to analyze the relationship between Jakarta Stock Exchange Islamic Index (JII) and selected macroeconomic variables namely exchange rate, industrial production, inflation rate, and money supply. We used monthly data from January 2000 toDecember 2010.The methodology used in this paper is time series techniques of co-integration and vector autoregression (VAR). In the analysis, we rely on variance decompositions and impulse-response functions to capture the strength of interactions among variables. The results revealed that there is co-integration between Islamic stock prices and macroeconomic variables. Specifically, Indonesian Islamic stock market are driven more by domestic factors. These macroeconomic factors considered to be emphasized as the policy instruments by the governments in order to stabilize Islamic stock prices
Indonesian Capital Market Efficiency: Islamic vis-a-vis Conventional
No full textCapital market efficiency is one of the most important part in finance theory, in which assume the price of stock will fully reflect the information available in the market, hence the price will adjust directly and quickly. The objective of this study is to evaluate the efficiency of both Islamic and conventional stock markets, particularly in case of Indonesia. Event study of King Salman Visit in Indonesia was used as testing periods. Abnormal return and average abnormal trading volume activity of 30 companies listed in Jakarta Islamic Index (JII) to represent Islamic capital market and 17 companies listed in LQ45 to represent conventional capital market were employed to explain this issue. The result shows that from abnormal return perspectives both Islamic and conventional capital market are efficient. While from abnormal trading volume activities, shows that during the visit of King Salman, the trading activity in Islamic capital market is increased significantly rather than conventional counterpart
Procyclicality and Bank Lending Behavior in Indonesia: The Case of Dual Banking System
No full textIt is widely suggested in the literature that procyclicality of bank lending behavior may lead to financial instability. This study examines bank-lending channel over the business cycle for Indonesian dual banking system by ascertaining to what extent Islamic banks have a role in the credit smoothing. In this context, we utilize Indonesian dual banking system unbalanced panel data for the period 2001-2015. By employing two-step dynamic GMM estimators, the study shows that the bank lending behaviour are procyclical. However, when we categorize the lending behaviour into conventional and Islamic banks, the cyclicality of bank lending affects only for conventional banks. As for the Islamic banks, the business cycle does not affect their financing decision. Specifically, large Islamic banks are more counter-cyclical in their financing behavior than small and medium size Islamic banks. Robustness tests using different measures of loans and model specifications confirm the results that Islamic bank is more stable and less procyclical in the case of Indonesia banking system
Implied volatility in the individual stocks call options market: evidence from Malaysia
No full textAmong options traders, implied volatility is regarded as one of the
most important variables for determining profitability in options trading.
Implied volatility implies the future underlying stock volatility, and whilst it
cannot predict market direction, it can forecast the stock’s potential for large
fluctuations in the future. Once the implied volatility has been calculated, the
traders can estimate how high or low the stock might swing by the option’s
expiration, and this estimation helps traders to make informed trading
decisions. In this paper, we examine the information content of the implied
volatility of individual stocks call options in the Malaysian stock market. We
use a daily dataset for 100 trading days for a period between November 2013
and February 2014. Our findings suggest that, for the Malaysian market,
although implied volatility does contain some relevant information about future
volatility, it is a less accurate predictor than historical volatility
Implied volatility and contagion in the options market
No full textAmong options traders, implied volatility is regarded as one of the most important variables for determining profitability in options trading. Implied volatility implies the future underlying stock volatility, and whilst it cannot predict market direction, it can forecast the stock’s potential for large fluctuations in the future. Once the implied volatility has been calculated, the traders can estimate how high or low the stock might swing by the option’s expiration and this estimation helps traders to make informed trading decisions. In this paper, we examine the information content of the implied volatility of call options in the Malaysian stock market. We use a daily dataset for 100 trading days for a period between November 2013 and February 2014. Our findings suggest that, for the Malaysian market, although implied volatility does contain some relevant information about future volatility, it is a less accurate predictor than historical volatility
