Nexus between Volatility of Stocks and Macroeconomic Factors during Global Financial Crisis: Evidence from Conventional & Islamic Stocks
Purpose: The study explores the relationship between the volatility of stock return of markets (Islamic & conventional) and macroeconomic factors by using GARCH in Mean (1,1) model during global financial crisis. Design/Methodology/Approach: monthly data for the period from 04 Jan, 2005 to 3...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
CSRC Publishing
2020-06-01
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| Series: | Journal of Accounting and Finance in Emerging Economies |
| Subjects: | |
| Online Access: | http://www.publishing.globalcsrc.org/ojs/index.php/jafee/article/view/1197 |