New Islamic equity style indices: Constructing and testing the efficacy of information transmission

New Islamic equity style indices: Constructing and testing the efficacy of information transmission

The non-existence of commercially available Islamic Equity Style Indices from index providers such as MSCI especially on small value and small growth stocks motivates us to construct our new indices. Firstly, various index construction methods are compared. Secondly, this paper describes in detail t...

Full description

Bibliographic Details
Main Authors: Shahrin Saaid Shaharuddin, Wee-Yeap Lau, Rubi Ahmad
Format: Article
Language:English
Published: Taylor & Francis Group 2017-01-01
Series:Cogent Economics & Finance
Subjects:
islamic capital markets
stock market index
equity style index
information transmission
vector autoregression
Online Access:http://dx.doi.org/10.1080/23322039.2017.1363355

Internet

http://dx.doi.org/10.1080/23322039.2017.1363355

Similar Items