Open AccessThe Effect of Sustainable Asymmetric Market Conditions on Returns & Volatility in Stock Markets during a Global Financial Crisis
Author(s) -
Majid Iqbal Khan,
Aftab Ahmad,
Rana Shahid Imdad Akash,
Asif Mahmood,
Ayyaz Ahmad,
Shagufta Yasmin
Publication year - 2021
Publication title -
international journal of innovation, creativity and change
Language(s) - English
Resource type - Journals
eISSN - 2201-1323
pISSN - 2201-1315
DOI - 10.53333/ijicc2013/15504
Subject(s) - stock market , stock exchange , stock market bubble , financial crisis , financial economics , volatility (finance) , economics , financial market , market depth , diversification (marketing strategy) , monetary economics , stock (firearms) , business , finance , macroeconomics , mechanical engineering , paleontology , horse , marketing , engineering , biology
Sustainable asymmetric market conditions’ development and volatility in stock returns play a vital role in investment decisions during a global financial crisis. Rational investment decisions and portfolio diversification can have the optimum returns. However, portfolio diversification through Islamic stock returns is perceived as a model of safer flight than that of conventional stocks. In the present study, the GARCH (1,1) - (Mean and Variance equations) has been employed to predict the impact of asymmetric market conditions on returns and volatility of Islamic stock markets (Dow Jones Islamic Market Malaysia (DJIM), Dow Jones Islamic Market Indonesia (JKII) and Dow Jones World Islamic Index (DJWI) Benchmark), and Conventional stock markets (Shanghai Stock Exchange (SSE-China), Bombay Stock Exchange (BSE-India) and Pakistan Stock Exchange (PSE-Pakistan), during the global financial crisis. The analysis reveals that the bullish effect was higher in all stock markets. Overall results suggested that Islamic stock markets have a sustainable impact of asymmetric market conditions on returns and volatility of Islamic stock markets & conventional stock markets during the global financial crisis. The asymmetric market conditions in stock markets are strongly recommended for economic globalisation during a global financial crisis.