Realized volatility transmission within Islamic stock markets: A multivariate HAR-GARCH-type with nearest neighbor truncation estimator

Citation

Ng, Sew Lai and Chong, Lee Lee and Chin, Wen Cheong (2020) Realized volatility transmission within Islamic stock markets: A multivariate HAR-GARCH-type with nearest neighbor truncation estimator. Borsa Istanbul Review, 20 (1). S26-S39. ISSN 2214-8450

[img] Text
54.pdf - Published Version
Restricted to Repository staff only

Download (1MB)

Abstract

Using the nearest neighbor truncation (NNT) approach, this study investigates the realized volatility transmission between the Malaysian Islamic market with various global sectoral Islamic stock markets by extending the heterogeneous autoregressive (HAR) with GARCH, asymmetric effects and jump-robust volatility estimator established in a multivariate setting. The multivariate HAR-GARCH model is capable to capture the persistence and time-varying volatility of realized volatility while NNT approach allows for an asymptotic limit theory in the presence of jumps. Using intraday data, the findings suggest the daily realized volatilities of the Islamic equities rely significantly on their own short-, mid- and long-term volatility components. Besides, there is an evidence of volatility spillover in majority of the pairwise but with low magnitude. The findings also confirm the vital role of conditional heteroscedasticity in the volatility series in explaining the measured volatility transmission of the Islamic stock indices. Hence, this study provides useful insight to understand the portfolio risk of Shariah-compliant equities in making better-informed portfolio allocation.

Item Type: Article
Uncontrolled Keywords: Stock markets
Subjects: H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions: Faculty of Computing and Informatics (FCI)
Faculty of Management (FOM)
Depositing User: Ms Suzilawati Abu Samah
Date Deposited: 26 Oct 2021 03:30
Last Modified: 26 Oct 2021 03:30
URII: http://shdl.mmu.edu.my/id/eprint/8362

Downloads

Downloads per month over past year

View ItemEdit (login required)