Open AccessVolatility of Islamic Stock Markets and Developed Stock Markets of G6 Countries
Author(s) -
Muhammad Mansoor,
Hina Ismail,
Shahnaz Akhtar,
Rana Yassir Hussain
Publication year - 2019
Publication title -
review of applied management and social sciences
Language(s) - English
Resource type - Journals
eISSN - 2708-3640
pISSN - 2708-2024
DOI - 10.47067/ramss.v2i1.10
Subject(s) - volatility (finance) , economics , financial economics , equity (law) , stock market , autoregressive conditional heteroskedasticity , stock (firearms) , monetary economics , horse , political science , law , biology , engineering , mechanical engineering , paleontology
The objective of this to measure and compare Volatility of Islamic stock markets with equity markets of developed(G6) countries by taking daily values for period 2000-2016. The technique of Augmented fuller test (ADF), Heteroscedasticity test, ARCH (1,0), GARCH (1,1), TARCH and E-GARCH are applied. The results show Islamic stock markets shows positive returns as compare to previous day return but the Developed equity markets (G6) shows negative returns as compare to previous day return expect span and Poland equity market. The study explored that in all the stock markets the previous day volatility transfers in the next day volatility and there are many other factors affect the stock market volatility. The study is helpful in building stock portfolio for individual or institutional investor and for policy maker in decision making.