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GOOD VS BAD NEWS: HOW THE ISLAMIC STOCK MARKETS RESPOND?

ABDUL 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
Mission Oriented Research > Energy
ID Code:8655
Deposited By: Samsul Ariffin Abdul Karim
Deposited On:13 Dec 2012 11:39
Last Modified:19 Jan 2017 08:21

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