Scholarly PublicationABDUL KARIM, BAKRI and ABDUL KARIM, SAMSUL ARIFFIN (2012) GOOD VS BAD NEWS: HOW THE ISLAMIC STOCK MARKETS RESPOND? PROCEEDINGS 14TH MALAYSIAN FINNACE ASSOCIATION. pp. 343-349.
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Abstract
In this paper we examine the response asymmetries of the major Islamic stock markets of
Malaysia, Indonesia, US, UK and Japan. We used daily data from January 1996 to December
2008 and simple regression. In line with previous studies, we found evidence for the presence
of response asymmetries in the Islamic stock markets. To certain extent the bad news
(market downturns) seems to play more important role than good news (market upturns) in
influencing the Islamic markets. The findings imply that the benefits of international portfolio
diversification tend to diminish during market downturns Compared to the US and UK, the
Japanese is more influential in the Asian region.
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Departments / MOR / COE: | Departments > Fundamental & Applied Sciences Research Institutes > Energy |
| Depositing User: | Samsul Ariffin Abdul Karim |
| Date Deposited: | 13 Dec 2012 11:39 |
| Last Modified: | 19 Jan 2017 08:21 |
| URI: | http://scholars.utp.edu.my/id/eprint/8655 |
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